| 开盘集合竞价透明度与市场质量 |
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| 引用本文： | 张肖飞. 开盘集合竞价透明度与市场质量[J]. 广东金融学院学报, 2010, 0(5) |
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| 作者姓名： | 张肖飞 |
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| 作者单位： | 中国人民大学商学院,北京100872; |
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| 摘 要： | 通过采用个股与市场同步法和价格反转的分析方法研究开盘集合竞价透明度与市场质量之间的关系，发现从日内效应来看，开盘集合竞价透明度提高以后，交易者的执行成本增加，整体来说市场的流动性是降低了；从事件前后市场模型的拟合优度比较结果来看，开盘集合竞价透明度提高以后股票个股与市场反应不一致，价格发现效率降低，市场质量降低。
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| 关 键 词： | 集合竞价 市场质量 价格发现效率 交易机制 |
The Transparency of Open Call Auction and Market Quality |
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| Zhang Xiaofei. The Transparency of Open Call Auction and Market Quality[J]. Journal of Guangdong University of Finance, 2010, 0(5) |
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| Authors: | Zhang Xiaofei |
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| Abstract: | Through synchronicity of individual stock and market and price reversal methods, this paper studies the relationship between open call auction transparency and market quality. The results show that traders＇ executive costs are increased from intraday effect, and market liquidity is reduced after the open call auction was increased. The individual stocks price is inconsistent with the market reaction based on the comparison results of goodness of fit of the market model between pre and post period, price discovery efficiency is decreased and the market quality is also declined. |
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| Keywords: | call auction market quality price discovery efficiency trading mechanisms |
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