Preopening price indications and market quality: Evidence from NYSE Rule 48
研究了纽交所规则48暂停做市商发布开盘前价格指示对市场的影响，发现该规则虽加快开盘但降低流动性，尤其开盘后30分钟内流动性显著减少，表明缺乏价格基准会削弱流动性供给。
Abstract In this article, we explore the role of preopening price signals in price discovery and liquidity. NYSE Rule 48 suspends the responsibility of designated market makers for disseminating preopening price indications in the event of extreme marketwide volatility. Rule 48 speeds up the opening of stocks at the expense of lower liquidity. The absence of preopening price indications results in reduced liquidity during the first 30 min of the trading day. We interpret this finding as evidence that liquidity suppliers are less willing to provide liquidity in the absence of a reference point or benchmark regarding stock value.