Winners and Losers from the Introduction of Continuous Variable Price Trading

Résumé du livre

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.