Découverte de prix pendant les périodes d'ouverture et de clôture sur Euronext
(2004) Belgian Financial Research Forum — Location: Bruxelles
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- Authors
- Abstract
- (en) Price discovery is particularly important and difficult at the market opening due to the large part of information diffused during the night. It is also the case at the closing period considering the significant increase of the order flow at the end of the trading day. This article examines the contribution of an auction procedure at the beginning and at the end of the trading session on Euronext in terms of informationnal efficiency. In fact, following Biais, Hillion & Spatt (1999) and Bacidore & Lipson (2001), we try to show how the informational contents of the indicative price evolves during these specific periods.
- Affiliations
Louvain School of Management Accounting & Finance
Citations
Gillard, M.-F. (2004). Découverte de prix pendant les périodes d’ouverture et de clôture sur Euronext. Belgian Financial Research Forum, Bruxelles. https://hdl.handle.net/2078.5/128724