On the basis of the data from 170 SSE stocks of Shanghai Exchange, an empirical analysis of the stock price behavior under two different trading mechanisms was made by comparing the characteristics of opening to open returns(the periodic call mechanism) with the ones of closing to close returns(the continuous auction mechanism).It was found that the opening returns exhibit the following characteristics: greater deviation from the normal distribution, greater dispersion and a more negative and significant autocorrelation pattern than closing returns. It was also observed that the greater dispersion of the opening returns is induced by both the overnight trading halt before the opening and the periodic call mechanism. The analysis of Shenzhen Stock Exchange showed the same empirical results. It is concluded that different trading mechanisms have significant effect on the stock price behavior.
王志刚, 曾勇, 李平. 集合竞价与连续竞价机制下的股票价格行为分析[J]. J4, 2005, 2(2): 200-.
WANG Zhi-Gang, ZENG Yong, LI Ping-. Analysis of the Stock Price Behavior Under the Mechanisms of Periodic Call and Continuous Auction. J4, 2005, 2(2): 200-.