Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks
研究订单集中对价格效率的影响，发现纽约证券交易所的集中开盘竞价在正常交易日和指数套利日（流动性需求高时）均优于纳斯达克的分散开盘，而纳斯达克在2004年引入集中开盘后效率提升。
Abstract We show that the consolidation of orders is important for producing efficient prices, especially during times of high liquidity demand. The NYSE's centralized opening call market performs better than Nasdaq's decentralized opening process on typical trading days. The NYSE is much better than Nasdaq on witching days when index arbitrage activity subjects S&P 500 stocks to large, predictable, and mostly informationlessorder flow around quarterly futures contract expirations. Nasdaq opening price efficiency improves to NYSE levels once Nasdaq initiates a consolidated opening call in November 2004, but prices on the decentralized Nasdaq remain less efficient at other times of day.