佳作分享|收盘交易机制变迁的市场影响研究——基于上海证券交易所的自然实验
The impact of closing mechanism changes: evidence from the Shanghai stock market
收盘交易机制变迁的市场影响研究——基于上海证券交易所的自然实验
Authors
Dan Ma
College of Management and Economics, Tianjin University, Tianjin, China,and,
Chunfeng Wang
College of Management and Economics, Tianjin University, Tianjin, China,and,
Zhenming Fang
College of Management and Economics, Tianjin University, Tianjin, China,and,
Ziwei Wang
College of Management and Economics, Tianjin University, Tianjin, China
Citation
Ma, D., Wang, C., Fang, Z. and Wang, Z. (2021), "The impact of closing mechanism changes: evidence from the Shanghai stock market", China Finance Review International, Vol. 11 No. 2, pp. 259-281. https://doi.org/10.1108/CFRI-04-2020-0041
摘要
Abstract
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.
Keywords
Closing mechanism, Call auction, Market quality, Investor behavior, Price manipulation
文章结构
Introduction
Hypothesis
Methodology
3.1 Data selection
3.2 Regression analysis
3.3 Measures of market quality
3.4 Measures of investor behavior
3.5 Measures of price manipulation
Empirical results
4.1 Sample description
4.2 Impact on market quality
4.3 Impact on investor behavior
4.4 Impact on price manipulation
Robustness test
5.1 Changing the observation window
5.2 PSM-DID test
5.3 Full sample including trading days with information disclosure
Conclusions
研究成果
Closing mechanism changes in SSE and SZSX.
Definitions of variables.
Dynamics of intraday volume ratio before and after the closing mechanism changes in SSE.
Descriptive statistics.
Regression results of market quality to closing mechanism changes.
Regression results of market quality to closing mechanism changes: group inspection based on firm size.
Regression results of market quality to closing mechanism changes: group inspection based on liquidity.
Regression results of investor behaviors to closing mechanism changes.
Regression results of investor behaviors to closing mechanism changes: group inspection.
Regression results of price manipulation to closing mechanism changes.
Robustness test results: changing the definition of the continuous trading period before closing.
Robustness test results: changing the observation window.
Robustness test results: PSM-DID.
Robustness test results: based on samples including trading days with information disclosure.
主要结论
Focusing on the implementation of a closing call auction in SSE, we examine the policy effect of the closing mechanism change with respect to market quality, investor behavior, and price manipulation. Our conclusions are threefold. First, the closing call auction improves market quality by increasing liquidity and price continuity and decreasing volatility. Second, investor behaviors change with the implementation of the call auction. In terms of order timing, investors tend to trade in the continuous trading period away from the closing call auction; considering order aggressiveness, the best quote ratio becomes higher and the order size becomes larger in the continuous trading before closing after implementation of the call auction. Third, from the perspective of market supervision, closing via call auction can considerably restrain price manipulation, which is beneficial to price efficiency and market fairness.
作者简介
马丹博士就读于天津大学管理与经济学部，研究方向包括市场微观结构、投资者行为与高频交易。代表性学术成果发表于《China Finance Review International》、《Journal of Management Mathematics》、《Energies》、《中国管理科学》、《管理评论》、《运筹与管理》等期刊。
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