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The Return of the Call Auction

Deniz Ozenbas and Robert Schwartz
The Journal of Portfolio Management Market Microstructure 2022, jpm.2022.1.387; DOI: https://doi.org/10.3905/jpm.2022.1.387
Deniz Ozenbas
is a university distinguished scholar and professor of finance in the Feliciano School of Business at Montclair State University in Montclair, NJ
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Robert Schwartz
is the Marvin M. Speiser Professor of Finance and university distinguished professor in the Zicklin School of Business at Baruch College at CUNY in New York, NY
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Abstract

A call auction is a form of trading that died out in the precomputer age but has made its reentrance in electronic markets and is currently a significant component of major stock markets globally. In contrast with a continuous market in which a transaction is made any time a buy and a sell order meet or cross in price, call auctions batch orders together for execution in multilateral trades at specific points in time. The electronic call, an important innovation in market structure, has unique benefits concerning liquidity provision, intraday volatility control, and price discovery accuracy. NASDAQ introduced electronic calls to open and close its markets in 2004, and the NYSE did the same in 2007. Using data between 2010 and 2021 for these two markets, the authors assess how the opening and closing call auction volumes compare to the daily continuous trading volume and investigate the factors that impact the use of call auctions.

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The Journal of Portfolio Management: 48 (7)
The Journal of Portfolio Management
Vol. 48, Issue 7
July 2022
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The Return of the Call Auction
Deniz Ozenbas, Robert Schwartz
The Journal of Portfolio Management Jun 2022, jpm.2022.1.387; DOI: 10.3905/jpm.2022.1.387

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The Return of the Call Auction
Deniz Ozenbas, Robert Schwartz
The Journal of Portfolio Management Jun 2022, jpm.2022.1.387; DOI: 10.3905/jpm.2022.1.387
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  • Article
    • Abstract
    • THE CALL AUCTION
    • PRICE DISCOVERY6
    • A MARKET UNDER STRESS
    • INVESTOR DEMAND FOR IMMEDIACY
    • WHY HAS THE CALL BEEN RESISTED?
    • THE SCENE AT NASDAQ AND THE NYSE, 2000 VERSUS 2021
    • THE REVEALED DEMAND FOR CALL AUCTION TRADING
    • A WORK IN PROGRESS
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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