The London Stock Exchange’s (LSE) opening call auction may need to be rethought after research finds it regularly fails to set efficient prices for more than 80% of FTSE 100.

I den mest omfattande studien någonsin gjord av University of Edinburgh Business School kom man fram till att öppningscallen på Londonbörsen missade att sätta effektiva priser i mer än 80% av fallen gällande de mest likvida aktierna. I undersökningen analyserades närmare 74 miljoner affärer gjorda FTSE 100 aktier för en period av 12 månader, 2012 till 2013.

Den totala omsättningen under denna period var mer än £21.54 billion och 290,000 transaktioner per dag. Under det 10 minuter långa handelsfönstret från 07.50 till marknaden öppnade 08.00 visade det sig att handeln var ganska låg. Endast under de senaste 60 sekunderna var aktiviteten hög. Öppningscallen visade sig vara helt verkningslös för att sätta priser på de minst omsatta aktierna under FTSE 100, då handlarna istället väntade med dessa tills handeln startade.

Dr Gbenga Ibikunle, Lektor in Financial Markets at University of Edinburgh Business School, som ledde undersökningen sa följande:

“Our study suggests the influence of the call auction may have been exaggerated and oversold to investors by trading platforms eager to please the market.

“When the opening auction was introduced to the LSE in 1997, it had two clear advantages.

“Firstly it offered more transparency, since all order details are released to the market once placed. And secondly, by drawing all orders in before auction it also provided a higher level of liquidity in the market, which increased the likelihood of filling orders.

“However, in an era when high frequency trading is pre-eminent and alternative equity exchanges have democratised market information substantially, it is no longer suited to fulfilling either purpose.

“Our findings suggest it may be time for the LSE to reconsider the value of the opening call auction.

“Without a period of continuous trading preceding it – as is the case with the closing auction – the mechanism is of little use in establishing efficient prices.

Det var Londonbörsen det, kan vi kanske se samma mönster i vår öppningscall? Till viss del kanske.


 

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