We study the effects of a random-end (RE) trading mechanism on price stabilization, discovery, and efficiency. Using the real-time order book, we analyzed all RE occurrences on the Korea Exchange (KRX) in 2009 and 2010. The RE trading mechanism promoted price stabilization, but with some reservations. A significant part of this price stabilization effect came from the cancellation or correction of existing orders. The RE trading mechanism improved opening price discovery, but caused overreaction at the close. Policymakers should impose tighter parameters of the RE trading mechanism on the expiration dates of derivatives contracts than on regular trading days.
Key words: Random-end trading mechanism; Call auction; Price stabilization; Price discovery and efficiency; Manipulative order; Option Shock
JEL Classification: G10, G20
자료실
자료실
[2014년 제 4차] Price Stabilization and Discovery under a Random-En
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게시일 :
2014-12-12