Winners and losers from the introduction of continuous variable price trading: Evidence from the Riga Stock Exchange

Winners and losers from the introduction of continuous variable price trading: Evidence from the Riga Stock Exchange

This paper examines the impact from changing the trading mechanism at the Riga Stock Exchange (RSE). All three trading lists that once traded in a daily call auction followed by fixed price trading were transferred to a mechanism where the call auction is followed by continuous variable price tradin...

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Bibliographic Details
Published in:Journal of banking & finance Vol. 24; no. 4; pp. 603 - 624
Main Authors: Kairys, Joseph P, Kruza, Raimonds, Kumpins, Ritvars
Format: Journal Article
Language:English
Published: Amsterdam Elsevier B.V 01-04-2000
Elsevier
Elsevier Sequoia S.A
Series:Journal of Banking & Finance
Subjects:
Bank regulation
Banking
Emerging markets
Financial systems
Latvia
Liquidity
Market microstructure
Regulation
Riga
Riga Stock Exchange
Securities trading
Stock exchange
Stock exchanges
Studies
Trading systems
Transition economies
Latvia
Market microstructure
Emerging markets
Liquidity
G12
G15
G14
Trading systems
G18
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Summary:This paper examines the impact from changing the trading mechanism at the Riga Stock Exchange (RSE). All three trading lists that once traded in a daily call auction followed by fixed price trading were transferred to a mechanism where the call auction is followed by continuous variable price trading sessions. We find that for stocks with high liquidity before the transfer, trading volumes more than doubled, while for stocks with low liquidity before the transfer, trading volumes fell to less than a quarter of their pre-transfer levels. The functions of a stock market in providing price discovery and a secondary market for shares were eroded for more than half of the securities listed.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0378-4266
1872-6372
DOI:10.1016/S0378-4266(99)00082-5