 Reexamining the impact of closing call auction on market quality: A natural experiment from the Shanghai stock exchangeQian 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) Downloads: (external link) Related works: 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 |
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