TY  - JOUR
T1  - The Interaction between Opening Call Auctions and Ongoing Trade: Evidence from the NYSE
JF  - Review of Financial Economics
Y1  - 2004
A1  - Brooks,Raymond
A1  - Moulton,Jonathan
KW  - Finance
AB  - We investigate the impact that the opening batch has on trading for the remainder of the day and what impact the prior day's trading has on the subsequent day's open. Traders have an interest in these trading impacts as their trades may cluster around opening and closing time periods. We find that the larger the volume in the opening batches, the greater the volume across the day. We also find the prior day's volume being positively related to the subsequent day's opening volume. Combined, these results suggest a continuing pattern of trade volume rolling from one day to the next. Additionally, we find that the spread in the continuous market can be partially attributed to the price change in the opening batch. We also find evidence of opening trade price reversals. Combined with the absence of price reversals following the opening trade, we conclude that the opening process may be more efficient at handling information than the continuous market.
VL  - 13
CP  - 4
U2  - a
U4  - 644730880
ID  - 644730880
ER  - 

TY  - HEAR
T1  - "California Electricity Futures: The NYMEX Experience"
Y1  - 2002
A1  - Moulton,Jonathan
KW  - Finance
JA  - Financial Management Association Annual Meeting
U2  - c
U4  - 648892416
ID  - 648892416
ER  - 

TY  - HEAR
T1  - The Interaction between Opening Call Auctions and Ongoing Trade:  Evidence from the NYSE and AMEX Exchanges
Y1  - 2000
A1  - Moulton,Jonathan
KW  - Finance
JA  - Eastern Finance Association Annual Meeting
U2  - c
U4  - 648894464
ID  - 648894464
ER  - 

TY  - HEAR
T1  - The Interaction between Opening Call Auctions and Ongoing Trade: Evidence from the NYSE and AMEX
Y1  - 2000
A1  - Brooks,Raymond
A1  - Moulton,Jonathan
KW  - Finance
JA  - Annual Meeting of the Eastern Finance Association
CY  - Myrtle Beach
U2  - c
U4  - 644734976
ID  - 644734976
ER  - 

TY  - HEAR
T1  - The Interaction between Opening Call Auctions and Ongoing Trade: Evidence from the NYSE and AMEX
Y1  - 1999
A1  - Brooks,Raymond
A1  - Moulton,Jonathan
KW  - Finance
JA  - Annual Meeting of the Financial Management Association
CY  - Orlando, FL
U2  - c
U4  - 644739072
ID  - 644739072
ER  -