开市前时段是否重要？中国市场午休时间的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-11-10 DOI:10.1016/j.pacfin.2024.102577

Gang Chu , John W. Goodell , Xiao Li

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引用次数: 0

摘要

中国股市的设计为研究开盘前叫价拍卖对价格效率和价格发现的影响提供了一个独特的机会。通过比较，我们发现由叫价拍卖决定的上午开盘价比由连续拍卖机制决定的下午开盘价更有效率，信息量更大。利用公司公告来比较价格调整对隔夜信息和午休信息的反应速度，我们发现价格对隔夜公告的反应速度要快得多，这与开盘前叫价拍卖促进了对公告的价格发现是一致的。结果还表明，公司公告提高了股票流动性，隔夜公告对流动性的影响强于午休公告。总体而言，我们的证据凸显了开盘前叫价拍卖的效用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Are pre-opening periods important? Evidence from Chinese market lunch breaks

The Chinese stock market design offers a unique opportunity to examine the impact of pre-open call auctions on price efficiency and price discovery. By comparison, we find that opening prices of morning sessions, as determined by call auctions, are more efficient and informative than prices of the afternoon session, as determined by a continuous auction mechanism. Using corporate announcements to compare the speed of price adjustments in response to overnight information versus lunch break information, we find that prices react much more rapidly to overnight announcements, consistent with pre-open call auctions facilitating price discovery to announcements. Results also suggest that corporate announcements enhance stock liquidity with the effect of overnight announcements on liquidity being stronger than the effects of lunch break announcements. Overall, our evidence highlights the utility of pre-open call auctions.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.