TY  - UNPD
A1  - Pagano, Michael S.
A1  - Peng, Lin
A1  - Schwartz, Robert A.
T1  - The quality of price formation at market openings and closings: evidence from the Nasdaq stock market
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,45
N2  - Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It is optimal for the CCP to face default losses to achieve the efficient level of trade. To cover these losses, the CCP optimally uses margin calls, and, as the default problem becomes more severe, also requires default funds and then imposes position limits.
T3  - CFS working paper series - 2008, 45 
KW  - Opening Price
KW  - Closing Price
KW  - price discovery
KW  - Intra-Day Volatility
KW  - Market Microstructure
KW  - Equity Markets
KW  - Call Market
KW  - Nasdaq
KW  - Zentraler Kontrahent
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6188
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62240
ER  -