University of Wollongong: Closing Calls Good for UAE Markets
August 29 2016 - 02:41AM
Business Wire
University of Wollongong study shows Dubai, Abu
Dhabi market quality improved
Professor Alex Frino, Deputy Vice Chancellor and Professor of
Economics at the University of Wollongong Dubai, has released the
results of a study into the impact of closing calls on market
quality in Dubai and Abu Dhabi.
The Abu Dhabi Securities Exchange and Dubai Financial Market
introduced closing call auctions in January 2013 and May 2014
respectively. Professor Frino said while previous research was
mixed on the efficacy of closing calls, data showed that the
introduction of closing calls in the UAE had been positive.
“There have been conflicting studies on whether closing calls
improve market quality or not – one recent piece of research found
the closing call impaired quality on Hong Kong Exchange, and
another looked at the Australian Stock Exchange and found it
improved quality there. Our study showed a reduction in price
volatility and trading volume in the closing call, but no
significant change in bid-ask spreads. We conclude that in reducing
the volatility of the reported price, market quality on both
exchanges has been improved.”
The study looked at the most liquid stocks on both venues and
examined bid-ask spreads, price volatility and trading volume. It
was co-authored by Michael Garcia from the Sydney Business School,
University of Wollongong.
Closing call auctions are market mechanisms whereby buyers set a
minimum buy price and sellers a minimum sell price for a given
number of securities over a short period (in these cases ten
minutes). At the end of the auction, orders are matched to form a
contract.
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For further information, copies of the research paper and
interviews with Professor Alex Frino:The Continuum PartnersKristin
Westlake, +61 2 416 219 358kwestlake@thecontinuumpartners.com