EconPapers    
Economics at your fingertips  
 

Reexamining the impact of closing call auction on market quality: A natural experiment from the Shanghai stock exchange

Qian Han, Chengzhi Zhao, Jing Chen and Qian Guo

Pacific-Basin Finance Journal, 2022, vol. 74, issue C

Abstract: Using the intraday and daily data of Chinese A shares in Shanghai and Shenzhen from May to January 2018, this paper examines the regulatory impact of the Shanghai closing call auction on market liquidity, volatility, and price effectiveness using the Difference-in-Difference (DID) method. We find that the Shanghai closing call auction has no significant impact on market liquidity, but has resulted in 1) a shift of trading volume from closing to pre-closing; 2) increased volatility at pre-closing; 3) significant improvement in the continuity of the closing price; and 4) no prominent improvement on price effectiveness. Also, the regime appears to have a pronounced impact, particularly on small-cap stocks. Our findings suggest that the introduction of the Shanghai closing call auction helps reduce the risk of small-cap stocks, meanwhile improve the continuity of closing and pre-closing prices.

Keywords: Closing call auction; Market liquidity; Market volatility; Closing Price manipulation (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X22001160
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001160

DOI: 10.1016/j.pacfin.2022.101821

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-11-19
Handle: RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001160