Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experimental Investigation
通过实验室资产市场实验，比较集合竞价与连续竞价在信息不对称环境下的表现，发现集合竞价能显著降低噪声交易者的逆向选择成本，且不损害价格效率。
I examine the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. I find significant differences in an environment that extends the Kyle (1985) framework to permit the exogenous liquidity trading motive to have a natural economic interpretation. The adverse selection costs incurred by noise traders are significantly lower under the call auction, despite no significant reduction in average price efficiency. This result suggests that discussions of the costs and benefits of insider trading should take place within the context of a specific trading mechanism.