Articles: Closing auction
HKEx consults on Volatility Control Mechanism and closing auction
HKEX, 16-Jan-2015
Finally, they are including a random closing time in the closing auction to deter manipulation of the closing price. This is something that Webb-site founder David Webb, then an INED of HKEx, recommended in 2007 before the launch of the first closing auction, but the board rejected it.
HKEX, 16-Jan-2015
Finally, they are including a random closing time in the closing auction to deter manipulation of the closing price. This is something that Webb-site founder David Webb, then an INED of HKEx, recommended in 2007 before the launch of the first closing auction, but the board rejected it.
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.
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.
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)
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
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)
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)
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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