Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange
利用香港交易所2008年采用标准集合竞价机制后因操纵嫌疑暂停、2016年改进后重启的独特场景，研究发现标准集合竞价易受收盘价操纵，尤其在衍生品到期日或大额订单在收盘前提交时，隔夜价格反转更明显。
The Hong Kong Stock Exchange adopted a standard closing call auction mechanism in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange revamped the mechanism with manipulation-deterrence enhancements and relaunched it in 2016. We exploit this unique setting to examine the effect of call auction design on closing price manipulation. Our results indicate that the standard call auction mechanism is vulnerable to closing price manipulation. Under this mechanism, overnight price reversal is more pronounced on days when derivatives expire and on days when large orders were submitted just before the market close.