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Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong
Lei, Adrian C.H.1; Ma, Xiaorong1; Yick, Martin H.Y.2
2020-11-01
Source PublicationJOURNAL OF FUTURES MARKETS
ABS Journal Level3
ISSN0270-7314
Volume40Issue:11Pages:1731-1750
Abstract

Call auction sessions are widely adopted to improve the price discovery process. The suspension of the closing call auction session (CAS) of the Hong Kong Stock Exchange (HKEx) in 2009 and the reintroduction of an enhanced CAS in 2016 provide us a unique experimental environment to assess the effectiveness of the two different CAS models in reducing market manipulation. In examining the probability of mandatory call events (MCEs) of callable bull/bear contracts (CBBCs), we find the enhanced CAS model being more effective in price manipulation reduction. We also find the enhanced CAS reducing price manipulation in the preopening auction session.

KeywordCallable Bull/bear Contracts Closing Auction Session Manipulation Price Reversals
DOI10.1002/fut.22105
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000513175900001
PublisherWILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ
Scopus ID2-s2.0-85079706523
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Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorLei, Adrian C.H.
Affiliation1.Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Taipa, Macao
2.Department of Finance and Insurance, Lingnan University, Tuen Mun, Hong Kong
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714		 Lei, Adrian C.H.,Ma, Xiaorong,Yick, Martin H.Y.. Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong[J]. JOURNAL OF FUTURES MARKETS, 2020, 40(11), 1731-1750.
APA Lei, Adrian C.H.., Ma, Xiaorong., & Yick, Martin H.Y. (2020). Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong. JOURNAL OF FUTURES MARKETS, 40(11), 1731-1750.
MLA Lei, Adrian C.H.,et al."Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong".JOURNAL OF FUTURES MARKETS 40.11(2020):1731-1750.
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