%0 Journal Article
%T Trading Strategies in Blind Call Auction:Models and Empirical Analysis of Shanghai Stock Exchange<br>封闭式集合竞价交易策略模型及对沪市的实证检验
%A PAN Deng
%A LIU Ti
%A LIU Hai-long
%A WU Chong-feng
%A <br>攀登
%A 刘逖
%A 刘海龙
%A 吴冲锋
%J 系统工程理论与实践
%D 2004
%I 
%X Based on the order distribution assumption, this paper sets up a strategic trading game model of blind call auction. This model implies that the individual investor is not willing to attend the call auction or needs risk compensation. Therefore the banker can not carry out normal trade strategy and incline to market manipulation. The empirical analysis of Shanghai Stock Exchange supports the model and indicates that the call auction mechanism of Chinese stock markets needs improvements.
%K call auction
%K market microstructure
%K trade strategy
%K market manipulation<br>集合竞价
%K 市场微观结构
%K 交易策略
%K 市场操纵
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=09EB7D4CA7C2A543&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=CA4FD0336C81A37A&sid=CA4FD0336C81A37A&eid=F3090AE9B60B7ED1&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=3&reference_num=11