Price Discovery of the Close-and-open Call Auction Mechanism
封闭式与开放式集合竞价机制下的价格发现分析

In the paper,we use the method of financial market microstructure theory to study the price discovery process of close-and-open call auction with limited order in the framework of rational expectation.The results indicate that if all the investors all full rational,the equilibrium price,whether using close call auction or open call auction,is the unbiased estimator of the risky assets true value.If the number of the traders in open call auction is same as the close call auction,the efficiency of the former is less than the latter because there are some noise traders in the open call auction.Although the open call auction brings some side effect,it absorbs more investors to participate in action and the increasing traders would make the equilibrium price more efficient.