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 statistics | CDA alone | CDA-CM | CDA-CMT |
| (1) Avg. , Period 1 | 4.96% (4.29%) | 2.59% | 2.51% | (2) Avg. , Period 2 | 4.95% (4.21%) | 3.24% | 2.99% | (3) Avg. , Period 3 | 3.24% (2.66%) | 2.84% | 2.70% | (4) Avg. , Period 4 | 2.57% (2.83%) | 1.98% | 3.06% | (5) Avg. , Period 5 | 2.84% (2.86%) | 2.40% | 2.90% | (6) Avg. , Period 6 | 3.05% (3.04%) | 3.05% | 3.12% | (7) Avg. , last transaction, and all periods | 2.93% (2.67%) | 2.27% | 2.64% | (8) Avg. , last transaction, and Period 6 | 2.41% (2.69%) | 2.92% | 2.39% |
| Panel B: Wilcoxon tests | CDA alone versus CDA-CM | CDA alone versus CDA-CMT | CDA-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 |
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