Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock
研究了韩国交易所条件随机结束交易机制在开盘和收盘集合竞价中的效果，发现其能稳定价格、改善开盘价格发现，但导致收盘过度反应，且在极端操纵事件中未能稳定市场。
Abstract Option Shock was a notable 2010 manipulation in Korean stock and derivatives markets. Motivated by Option Shock, we examine the effectiveness of the conditional random‐end (RE) trading mechanism during the opening or closing call auction on the Korea Exchange. We find the conditional RE trading mechanism promotes price stabilization, but with some reservations, and improves price discovery and efficiency at the open, but causes overshooting at the close. We also find it somewhat effective in filtering out spoofing orders, but failed to stabilize the market in the extreme case of Option Shock, which motivated a change to an unconditional RE trading mechanism.