Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329972 
Year of Publication: 
2022
Citation: 
[Journal:] Games [ISSN:] 2073-4336 [Volume:] 13 [Issue:] 5 [Article No.:] 61 [Year:] 2022 [Pages:] 1-8
Publisher: 
MDPI, Basel
Abstract: 
We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates contingent claims (buy stock A, if selling stock B) into the price discovery process. With our proposed mechanism, we show that higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed mechanism would be an improvement over the existing opening auction rules at stock exchanges.
Subjects: 
call auctions
stock exchanges
volatility
JEL: 
G20
D44
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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