集合竞价透明度提高对市场流动性的影响——基于中国股市开盘的实证研究

运用上海A股股票的交易数据，采用事件研究法分析了开盘集合竞价由封闭式改为开放式后市场流动性的变化。通过面板数据回归，检验了开盘交易量比率和连续竞价市场的买卖价差、市场深度、流动性比率和弹性的变化。实证结果表明：在开放式集合竞价机制下，交易者参与开盘的积极性明显提高，连续竞价开始后15min内的市场流动性明显减少。根据不N的交易者对信息揭示的反应不同，得到如下结论：实行开放式集合竞价开盘不仅吸引了更多的交易者参与交易，提高了开盘价格的信息效率，而且缓解了交易者对开盘信息的过度反应。

The Impact of Increase in the Transparency of Call Auction on Market Liquidity: Evidence from the Opening in China Stock Markets

Using transactions data for A-Share stocks in Shanghai stock market,this paper studies the effect of the opening call auction which changes from close-call auction to open-call auction on market liquidity by using Event study methodology.This paper adopts panel data regression to test the change of the ratio of trading volume in the opening call auction market and the bid-ask spread,market depth,liquidity ratio and resiliency in the continuous auction market after the transparency of opening auction increased.The results indicate that the enthusiasm of the traders participating in opening auction is enhanced and market liquidity within 15 minutes after continuous trading is dramatically reduced in the open-call auction market.Based on the fact that different trades respond differently to the disclosed information,we conclude that the open-call auction can not only attract more traders to participate in opening auction,which may increase the validity of opening price,but also mitigate the traders' excess reflection on the opening information.