Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange
利用以色列股票从集合竞价转向连续交易的自然实验，发现投资者偏好连续交易股票，且这种偏好导致小盘股在转换后交易量和异常收益增加，但整体上大盘股相对小盘股交易量上升。
ABSTRACT We use the move of Israeli stocks from call auction trading to continuous trading to show that investors have a preference for stocks that trade continuously. When large stocks move from call auction to continuous trading, the small stocks that still trade by call auction experience a significant loss in volume relative to the overall market volume. As small stocks move to continuous trading, they experience an increase in volume and positive abnormal returns because of the associated increase in liquidity. Overall, though, a move to continuous trading increases the volume of large stocks relative to small stocks.