INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET

INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET

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Pre-open auctions have been widely implemented across trading exchanges.Pre-open auctions tend to reduce information asymmetry and trading risks.Call auctions have been korpskaft encouraged to enhance price discovery.This paper explores the shifts in information content of the pre-market auction session over time.

We derive that the information content of the pre opening auction did improve little after a gap of two months.We conclude that the intraday 15 minutes realized volatility was influenced by information content in the pre-market.We demonstrate that volatility is the cause of order imbalance or a cause of poor information content.The investigation of the related volatility in the futures segment jolly rancher filled gummies provides interesting insights on the unusual pre-market imbalances visualized on days close to expiry of futures.