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首页> 外文期刊>Journal of Financial Regulation & Compliance >The impact of introducing a pre-close on the New Zealand share market
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The impact of introducing a pre-close on the New Zealand share market

机译：收盘前交易对新西兰股票市场的影响

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摘要

Purpose – The purpose of this paper is to investigate the July 2007 introduction of a pre-close call auction on the New Zealand stock market and its effect on share pricing quality and market manipulation. Design/methodology/approach – Market quality was tested using the methodology of Pagano and Schwartz, which is based on changes in market model R 2s. Closing price manipulation is detected by comparing mean bid-ask spread characteristics of the periods before and after the introduction of the pre-close call auction. Findings – The closing call auction improves the quality of share pricing and reduces the incidence of market manipulation. Practical implications – The paper confirms the effectiveness of the changes made to the method of closing the market for all firms in the market. Originality/value – The paper extends knowledge of the effectiveness of closing call-auctions. It is the first study in a low-liquidity market and of shares with very low liquidities. Such markets have lower pricing quality and are more vulnerable to market manipulation. The study establishes the effectiveness of closing auctions in this environment.
机译：目的–本文的目的是调查2007年7月在新西兰股票市场上进行的收盘前竞价拍卖及其对股票定价质量和市场操纵的影响。设计/方法/方法–使用Pagano和Schwartz的方法对市场质量进行了测试，该方法基于市场模型R 2 s的变化。通过比较在引入预收盘竞价之前和之后的平均买卖差价特征来检测收盘价格操纵。调查结果–闭幕式竞价拍卖提高了股票定价的质量，并减少了市场操纵的发生。实际意义–该文件证实了市场上所有公司对关闭市场方法所做更改的有效性。原创性/价值–本文扩展了关于封闭式拍卖的有效性的知识。这是低流动性市场和流动性极低的股票的首次研究。这样的市场价格质量较低，更容易受到市场操纵。该研究确定了在这种环境下完成拍卖的有效性。

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