收盘集合竞价透明度增加的效应分析——基于深圳中小企业板的实证研究

本文基于中小企业板收盘制度改革的背景,分析了开放式集合竞价对市场流动性、波动性的影响。结果显示,采用开放式集合竞价收盘之后,收盘前连续竞价阶段的市场流动性明显减小、波动性降低,从连续到收盘价格的变化幅度减小,收盘阶段的市场流动性降低。根据市场微观结构理论,并结合中国市场的实际情况,我们得到以下结论:集合竞价透明度增加有效地缓解了收盘前集中交易的现象,减少了庄家在尾盘拉抬和打压价格等做盘的可能性,提高了收盘价格的信息效率。

The Effect of Increasing Transparency of Call Auction in the Closing:An Empirical Study Based on Board of Medium and Small-Sized Enterprises in Shenzhen

Based on the reform in closing institution of medium and small-sized enterprises board,this paper analyzes how open-call auction gives an effect on the liquidity and volatility in market.The result shows that liquidity and volatility of market in the period of continuous auction before closing lower,and the range of price change from continuous auction to the closing and liquidity in the closing reduce after open-call auction introduced in the closing.In the light of the financial market microstructure theory and actual situation in Chinese market,we come to the following conclusions:the increase in transparency of call auction alleviates centralized trading phenomenon before the closing,and lessens the possibilities of dealers’ making price raise or decline at-the-close order,and improves informational efficiency of closing price.