Speaker：Adrian Lei，University of Macau，associate professor

Time: 14:00~15:30pm, Tuesday, November 12, 2019

Site：EMS B249

Abstract: Call auction sessions have been widely adopted by major exchanges to improve the price discovery process. The suspension of closing Call Auction Session (CAS) of Hong Kong Stock Exchange (HKEx) in 2009 and its reintroduction of an enhanced CAS model in 2016 provide us with a unique experimental environment to assess the effectiveness of two different CAS models on reducing market manipulation behavior in the same stock exchange. Via examining the probability of Mandatory Call Events (MCEs) of Callable Bull/Bear Contracts (CBBCs), we find that the enhanced CAS model is more effective in reducing price manipulation. Besides, our results suggest that the introduction of enhanced CAS model can also lead to reduced price manipulation in the Pre-opening Auction Session.

Introduction to the Speaker：

Adrian Lei，associate professor of Department of Finance and Business Economics in University of Macau. His research interests include corporate governance, corporate finance, empirical asset pricing and derivative securities. His papers have published at Journal of Business Finance and Accounting, Journal of Futures Markets, International Journal of Auditing, Review of Quantitative Finance and Accounting, Pacific-Basin Finance Journal.