To break or not to break: price discovery in morning and afternoon call auctions

This paper examines the effectiveness of price discovery in the morning and afternoon call auctions on the Stock Exchange of Thailand (SET), a market with a two-hour midday break between sessions. Using high-frequency order-level data from 2018 to 2021, we analyze each auction's contribution to price discovery, price efficiency, and post-auction volatility. We find that the morning call auction plays a dominant role in price discovery, particularly on earnings announcement days, while the afternoon call auction contributes comparatively little even when public information is released during the lunch break. Price efficiency is lower in the afternoon session and in retail investor–dominated stocks, consistent with reduced informed trading in those contexts. While the lunch break may serve operational purposes, our results suggest that the afternoon call auction plays a limited role in incorporating new information, offering insights for the design of split-session markets and the role of call auctions in price discovery.