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The impact of closing mechanism changes: evidence from the Shanghai stock market
China Finance Review International Pub Date : 2020-08-18 , DOI: 10.1108/cfri-04-2020-0041
Dan Ma , Chunfeng Wang , Zhenming Fang , Ziwei Wang

Purpose

The purpose of this paper is to empirically examine the impact of closing mechanism changes on market quality, investor trading behavior and market manipulation in the Shanghai stock market.

Design/methodology/approach

A dummy variable is constructed indicating whether the closing mechanism is call auction or continuous auction. Market quality is measured from aspects of liquidity, volatility and price continuity; investor trading behavior is scaled by order timing and order aggressiveness, and a price deviation indicator is the proxy of manipulation. Using panel regression, this study examines the impact of closing mechanism changes based on intraday transaction data from the Shanghai stock market.

Findings

The conclusions are as follows: First, market quality improves after the closing mechanism is reformed in terms of liquidity, volatility and price continuity. Second, order strategy changes significantly in the closing call market, and investors trade more aggressively in the continuous trading period before closing. Third, the closing call mechanism restrains the closing price manipulation and thus prompts an efficient closing price.

Originality/value

This paper examines the policy effects of closing mechanism changes from aspects of market quality, trading behavior and price manipulation, providing pieces of evidence for trading mechanism design and market supervision in emerging markets.



中文翻译:

关闭机制改变的影响:来自上海股市的证据

目的

本文的目的是从实证角度研究关闭机制变化对上海股票市场的质量,投资者交易行为和市场操纵的影响。

设计/方法/方法

构造一个虚拟变量,指示关闭机制是调用竞价还是连续竞价。市场质量是从流动性,波动性和价格连续性等方面来衡量的;投资者的交易行为通过定单时间和定单的积极性来衡量,价格偏差指标是操纵的代名词。本研究使用面板回归,根据来自上海股票市场的当日交易数据,研究了关闭机制变化的影响。

发现

结论如下:第一,从流通量,波动性和价格连续性方面对封闭机制进行改革后,市场质量得到改善。其次,定单策略在收盘看涨市场中发生了显着变化,并且投资者在收盘前的连续交易期间进行了更积极的交易。第三,收盘叫价机制限制了收盘价的操纵,从而促使有效的收盘价。

创意/价值

本文从市场质量,交易行为和价格操纵等方面研究了关闭机制变化的政策效果,为新兴市场的交易机制设计和市场监管提供了证据。

更新日期:2020-08-18
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