Does Random Auction Ending Curb Stock Price Manipulation?

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2023-12-29 DOI:10.1142/s2010139224500010
Yiping Lin, David Michayluk, Mi Zou
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Abstract

This paper examines the effect on stock market efficiency and potential market manipulation of introducing a random ending time for the call auctions that start and end continuous trading on three equity markets. We find that the probability of a price dislocation at the end of the auction declines, indicating a lower risk of market manipulation. In addition, the variance ratio and market-adjusted return volatility measures decrease, suggesting a more efficient and less volatile price discovery process. We confirm a behavioral change in order submissions by observing the timing of order entry, amendments, and deletions on one of the exchanges for which we have access to order data. Overall, our results indicate that adding a random auction ending time can reduce the risk of stock market manipulation and improve price efficiency.

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随机拍卖结束能抑制股价操纵吗?
本文研究了在三个股票市场开始和结束连续交易的看涨期权拍卖中引入随机结束时间对股票市场效率和潜在市场操纵的影响。我们发现,拍卖结束时价格错位的概率下降,表明市场操纵的风险降低。此外,方差比和市场调节收益波动率也有所下降,这表明价格发现过程更加有效,波动性更小。我们通过观察其中一家交易所的订单输入、修改和删除时间,证实了订单提交的行为变化。总之,我们的研究结果表明,增加随机拍卖结束时间可以降低操纵股市的风险,提高价格效率。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
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0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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