Research Article

A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality

Table 5

Average values and results of corresponding Wilcoxon rank sum tests. Results without the first CDA session in parentheses.

Panel A: descriptive statisticsCDA aloneCDA-CMCDA-CMT

(1) Avg. , Period 14.96% (4.29%)2.59%2.51%
(2) Avg. , Period 24.95% (4.21%)3.24%2.99%
(3) Avg. , Period 33.24% (2.66%)2.84%2.70%
(4) Avg. , Period 42.57% (2.83%)1.98%3.06%
(5) Avg. , Period 52.84% (2.86%)2.40%2.90%
(6) Avg. , Period 63.05% (3.04%)3.05%3.12%
(7) Avg. , last transaction, and all periods2.93% (2.67%)2.27%2.64%
(8) Avg. , last transaction, and Period 62.41% (2.69%)2.92%2.39%

Panel B: Wilcoxon testsCDA alone versus CDA-CMCDA alone versus CDA-CMTCDA-CM versus CDA-CMT

value (1)0.035 (0.063)0.025 (0.046)0.848
value (2)0.048 (0.087)0.085 (0.153)0.848
value (3)0.655 (1.000)0.848 (0.475)0.949
value (4)0.277 (0.153)0.482 (0.775)0.110
value (5)0.338 (0.317)0.749 (0.886)0.482
value (6)0.949 (1.000)0.949 (0.886)0.655
value (7)0.247 (0.386)0.682 (0.931)0.420
value (8)0.338 (0.475)0.949 (0.886)0.949