RT Journal Article SR Electronic T1 The First Price of the Day JF The Journal of Portfolio Management FD Institutional Investor Journals SP 101 OP 111 DO 10.3905/jpm.2002.319837 VO 28 IS 2 A1 Ananth N Madhavan A1 Venkatesh Panchapagesan YR 2002 UL https://pm-research.com/content/28/2/101.abstract AB The opening trading session is arguably the most crucial of the entire day, given the powerful combination at the open of concentrated volume and high uncertainty following the overnight or weekend non–trading period. The authors examine the process of price discovery at the New York Stock Exchange single–price opening auction. The analysis sheds light on the role of the specialist and provides insights into how openings on other markets–such as Nasdaq–might be structured. In particular, the presence of designated dealers facilitates price discovery over an automated call auction market, perhaps because specialists obtain valuable information by observing the evolution of the limit order book. In addition, the specialist's opening trade reflects non–information factors such as price stabilization requirements. Finally, the authors note that it is not feasible to trade thin stocks in call markets without either the presence of a designated dealer or a high degree of transparency.