TY - JOUR
T1 - A note on price noises and their correction process
T2 - Evidence from two equal-payoff government bonds
AU - Lauterbach, B.
AU - Wohl, A.
PY - 2001/3
Y1 - 2001/3
N2 - 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.
AB - 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.
KW - G14
KW - Market efficiency
KW - Market microstructure
KW - Price correction
KW - Price noise
UR - http://www.scopus.com/inward/record.url?scp=0042908984&partnerID=8YFLogxK
U2 - 10.1016/s0378-4266(00)00088-1
DO - 10.1016/s0378-4266(00)00088-1
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AN - SCOPUS:0042908984
SN - 0378-4266
VL - 25
SP - 597
EP - 612
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 3
ER -