1 - Marcel dos Santos Cabral UNIVERSIDADE DE BRASÍLIA (UNB) - FACE/PPGA
2 - Ivan Ricardo Gartner UNIVERSIDADE DE BRASÍLIA (UNB) - FACE/PPGA
Reumo
The use of auctions involves transactions of a series of assets including bonds and stocks. The extension of its use to the Stock Market in intraday negotiations considers the call auction instruments wich in some markets is used in a complementary way to the negotiations that take place on a continuous basis. Such instruments are used at different times in the market, such as opening and closing, with the characteristic that they enable the improvement of the price discovery process, as they influence the way in which buy and sell orders are coordinated.
The investigation about call auctions considered different approaches, related to their effectiveness, asset pricing, the bid-ask spread and even in the development of intraday trading strategies. Furthermore, some markets use the prices formed during this event to disclose their information, which may generate suspicion that these instruments affect the quality of the market and deserve further investigation. In this sense, this work proposes a bibliometric analysis to answer the question of how is the panorama of research on CA to identify existing gaps and suggest a research agenda
Focused in a systematic review of literature, our theoretical fundamentation, relies on more than 80 papers that reveal the themes that call auction is studied, as market anomalies, asset characteristics, information, liquidity and volatility, market, order, price, trading system and trader/trading.
Our discussion involve the analysis about the results by criterion, co-citation networks, co-ocurrence of keywords and historic and most cited articles, revealing that the papers focuse in analyze trading system, liquidity/volatily, price, order, trader/trading, information, market anomalies and characteristics of the assets in a call auction perspective. Even more the studies focused in some stock exchange, with the most part of that in the asia region.
The results found presented the approches of research about call auction and indicate a agenda that we can investigate about this instrument. In addition, we reveal that the studies are concentrated in few markets, although the adoption of these instruments is an event that occurs in many others.
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