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本文基于中小企业板收盘制度改革的背景,分析了开放式集合竞价对市场流动性、波动性的影响。结果显示,采用开放式集合竞价收盘之后,收盘前连续竞价阶段的市场流动性明显减小、波动性降低,从连续到收盘价格的变化幅度减小,收盘阶段的市场流动性降低。根据市场微观结构理论,并结合中国市场的实际情况,我们得到以下结论:集合竞价透明度增加有效地缓解了收盘前集中交易的现象,减少了庄家在尾盘拉抬和打压价格等做盘的可能性,提高了收盘价格的信息效率。
Based on the background of SME board closing system reform, this article analyzes the impact of open collective bidding on the market liquidity and volatility. The results show that after the opening auction, the market liquidity of the continuous bidding stage before the close of business significantly decreases, the volatility decreases, the change range from continuous to close prices decreases, and the market liquidity in the closing stage decreases. According to the market microstructure theory and the actual situation in the Chinese market, we get the following conclusion: The increase of the transparency of the collective bidding effectively mitigates the phenomenon of centralized trading prior to the close of the market and reduces the possibility that the dealer may lift and suppress the price at the late stage Sex, improve the efficiency of closing the price of information.