封闭式与开放式集合竞价机制下的价格发现分析

采用金融市场微观结构理论的方法在理性预期的框架下研究了只允许提交限价指令情形下的封闭式集合竞价与开放式集合竞价的价格发现过程.研究结论表明,若所有的投资者都是理性的,无论采用封闭式集合竞价还是开放式集合竞价,那么均衡价格均是风险资产真实价值的无偏估计量.如果参加两类集合竞价的投资者人数相同,由于开放式集合竞价会吸引噪声投资者,那么采用封闭式集合竞价比采用开放式集合竞价的效率高.虽然噪声投资者会带来负面影响,但吸引更多的投资者参与交易能使采用开放式集合竞价方式确定的均衡价更有效率.

Price Discovery of the Close-and-open Call Auction Mechanism

In the paper,we use the method of financial market microstructure theory to study the price discovery process of close-and-open call auction with limited order in the framework of rational expectation.The results indicate that if all the investors all full rational,the equilibrium price,whether using close call auction or open call auction,is the unbiased estimator of the risky assets true value.If the number of the traders in open call auction is same as the close call auction,the efficiency of the former is less than the latter because there are some noise traders in the open call auction.Although the open call auction brings some side effect,it absorbs more investors to participate in action and the increasing traders would make the equilibrium price more efficient.