Option Shock was a notable 2010 manipulation in Korean stock and derivatives markets. Motivated by Option Shock, we examine the effectiveness of the conditional random-end (RE) trading mechanism during the opening or closing call auction on the Korea Exchange. We find the conditional RE trading mechanism promotes price stabilization, but with some reservations, and improves price discovery and efficiency at the open, but causes overshooting at the close. We also find it somewhat effective in filtering out spoofing orders, but failed to stabilize the market in the extreme case of Option Shock, which motivated a change to an unconditional RE trading mechanism.

中文翻译：

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韩国交易所条件随机结束交易机制的有效性：正常交易和期权冲击

Option Shock 是 2010 年韩国股票和衍生品市场的一次显着操纵。在期权冲击的推动下，我们在韩国交易所的开盘或收盘集合竞价期间检查了条件随机结束 (RE) 交易机制的有效性。我们发现有条件的可再生能源交易机制促进价格稳定，但有一定的保留，并在开盘时提高价格发现和效率，但在收盘时会导致超调。我们还发现它在过滤欺骗订单方面有些效果，但在期权冲击的极端情况下未能稳定市场，这促使改变了无条件的 RE 交易机制。