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Articles: Closing auction
SGX market phases and algorithm
Company web site, 17-Feb-2012 This shows the opening and closing auctions with random ending times in a 1-minute interval.
SGX proposes random closing time to deter closing price manipulation
Company media release, 1-Jun-2011 This is something that Webb-site has been urging HKEx to do for years. HKEx suspended the closing auction in Mar-2009 and is now considering bringing it back. We hope they will, but without the previous proposal of a 2% limit on price movements, which would just shift the incentive to manipulate the price to the end of the regular session at 4pm.
Reforming HK Markets - the Political Realities
A presentation by David Webb to the FIX Protocol conference. (25-May-2011)
HKEx confirms suspension of Closing Auction Session from 23 March
Company media release, 20-Mar-2009
HKEx invents square wheel
HKEx has reportedly approved a new rule which will make it the only market in the world to have no price caps in regular trading but a limit on movements during the closing auction, thereby locking in any manipulation that occurs just before the auction. Many developed markets have adopted random auction closing-times to deter manipulation, which HKEx did not even allow for in its recent consultation. (12-Feb-2009)
Fixing the closing auction
Webb-site.com looks at the problems with the new closing auction mechanism at HKEx, and explains how these could have been avoided. (2-Jun-2008) |
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