Standard call auction and closing price manipulation: Evidence from the Hong Kong Stock Exchange

Research output: Unpublished conference presentation (presented paper, abstract, poster)Conference presentation (not published in journal/proceeding/book)Academic researchpeer-review


The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by applying a triple-differences (DDD) methodology to examine the causal effect of call auction design on closing price manipulation. Our results indicate that a plain-vanilla call auction mechanism is prone to closing price manipulation. Under this mechanism overnight price reversal is more pronounced on days when derivatives expire and on days with large orders submitted just before the market close.
Original languageEnglish
Publication statusNot published / presented only - 14 Jul 2020
EventThe 16th Annual Conference of the Asia-Pacific Association of Derivatives (APAD) - Online
Duration: 14 Jul 202014 Jul 2020


ConferenceThe 16th Annual Conference of the Asia-Pacific Association of Derivatives (APAD)
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