Price Discovery in Auction Markets: A Look Inside the Black Box
研究纽约证券交易所开盘拍卖中的价格发现过程，通过理论模型和订单数据分析，发现指定做市商比全自动集合竞价更能促进价格发现，且其开盘交易受价格稳定等非信息因素影响。
Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening price and test the model using order-level data. We show that the presence of designated dealers facilitates price discovery relative to a fully automated call auction market. This is consistent with specialists extracting information from observing the evolution of the limit order book. In addition, the specialist's opening trade reflects noninformational factors such as price stabilization requirements.