Opening and Closing the Market: Evidence from the London Stock Exchange
利用伦敦证券交易所的自然实验，比较集合竞价与做市商制度在开盘和收盘时的表现，发现集合竞价在价格发现上占优但失败率高，且交易成本受信息不对称、交易缓慢等因素影响，对中小盘股可能不是最优选择。
Abstract We investigate the performance of call markets at the open and close using a unique natural experiment provided by the London Stock Exchange where traders can choose between a call and an off-exchange dealership system. Although the call market dominates dealers in terms of price discovery, it suffers from a high failure rate to open and close trading especially when trading conditions are difficult. The call's trading costs increase with asymmetric information, slow trading, order flow imbalances, and uncertainty. Traders' resort to use of call auctions is negatively correlated with firm size, implying that the call may not be the optimal method for opening and closing trading of medium and small sized stocks.