A note on price noises and their correction process: Evidence from two equal-payoff government bonds

B. Lauterbach; A. Wohl

doi:10.1016/s0378-4266(00)00088-1

A note on price noises and their correction process: Evidence from two equal-payoff government bonds

B. Lauterbach, A. Wohl

School of Business Administration

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

The study offers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equal-payoff Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock Exchange (TASE). The prices of the bonds were equal on average. However, on most of the sample days there were price differences between the bonds. Various estimates suggest that the price noise in one bond is practically uncorrelated with that of the other, and both disappear by the end of the next-day auction.

Original language	English
Pages (from-to)	597-612
Number of pages	16
Journal	Journal of Banking and Finance
Volume	25
Issue number	3
DOIs	https://doi.org/10.1016/s0378-4266(00)00088-1
State	Published - Mar 2001

Keywords

G14
Market efficiency
Market microstructure
Price correction
Price noise

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10.1016/s0378-4266(00)00088-1

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abstract = "The study offers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equal-payoff Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock Exchange (TASE). The prices of the bonds were equal on average. However, on most of the sample days there were price differences between the bonds. Various estimates suggest that the price noise in one bond is practically uncorrelated with that of the other, and both disappear by the end of the next-day auction.",

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A note on price noises and their correction process: Evidence from two equal-payoff government bonds

Abstract

Keywords

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