Call auction transparency and market liquidity: The Shanghai experience
On July 1 2006, the Shanghai Stock Exchange (SHSE) changed its pre-market opening auction system from an entirely black box into a more transparent system with indicative auction prices, indicative equilibrium volume and indicative unexecuted volume disseminated in real time throughout the pre-opening period. This paper use the natural experiment offered by SHSE to investigate the impact of opening call transparency on market liquidity. The dynamics of the opening process and its impact on trading activity for the rest of the day is of interest to traders because traders can either cluster their trades during the non-trading period or withhold their orders until the market opens. We find that following the introduction of transparency to the call auction process, there is increased participation during the call auction and reduction in the volume of orders placed in the continuous market. Uncertainty is eased, resulting in lower price volatility and narrower proportional bid-ask spreads. But we find it to be detrimental to the liquidity and spreads of thinly traded stocks.
Call auction transparency market liquidity order driven market Shanghai Stock Exchange
Dionigi Gerace Gary Gang Tian Willa Zheng
Department of Finance, School of Accounting and Finance, University of Wollongong, NSW 2522 Australia
国际会议
广州
英文
1-25
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）