We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

This paper provides a review of the market microstructure of ten Asia-Pacific stock
exchanges. Asia-Pacific stock exchanges face significant challenges in an increasingly …

We use the move of Israeli stocks from call auction trading to continuous trading to show that
investors have a preference for stocks that trade continuously. When large stocks move from …

This paper analyzes the impact of call auction design on the efficiency of auction prices. On
18 March 2002, the Australian Stock Exchange introduced a new matching algorithm and …

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to
open and close the market while the remainder of the day's trading continued to rely on the …

Lack of access to finance presents a major setback to the development of the Small and
Medium Enterprise (SME) sector in Australia. Demand and supply of finance to the sector …

We evaluate a stock‐specific circuit breaker implemented in several European stock
exchanges, which consists of a short‐lived call auction triggered by intraday stock‐specific …

We study how minimum trading unit changes on the Tel-Aviv Stock Exchange impact a
stock's trading activity, price volatility, and value. The value effects are consistent with …

Continuous trading is currently becoming the standard for intraday electricity markets. In this
paper, we propose frequent auctions as a viable alternative. We argue that batching orders …

Purpose–The purpose of this paper is to critically evaluate the different market‐making
systems found in most developed capital markets and to provide guidance to emerging …