S. Ghon Rhee, University of Hawaii at Manoa

Rosita P. Chang, University of Hawaii at Manoa

Gregory R. Stone, University of Nevada, Reno

Ning Tang, Wilfrid Laurier University

Abstract

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the remainder of the dayís trading continued to rely on the continuous auction method. The call method significantly improved the price discovery process and market quality. A positive spillover effect is observed from the open/close calls. Day-end price manipulation also declined after the introduction of the call market method. However, the beneficial impact from the call market method is asymmetrical between liquid and illiquid stocks with liquid stocks benefit much more than illiquid stocks.

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