Doctor of Philosophy
School of Accounting, Economics and Finance
Zheng, Willa H., The impact of call auctions on China’s stock market liquidity and price quality, Doctor of Philosophy thesis, School of Accounting, Economics and Finance, University of Wollongong, 2016. https://ro.uow.edu.au/theses/4864
This dissertation contains three essays that examine the impact of call auctions in China. Since they were introduced in the mid-1990s, call auctions have become the most popular method to open and close daily trading in equity markets around the world. By aggregating orders and trade information at a single point in time, call auctions facilitate price setting and are a valuable tool in managing the liquidity of the trading market.
This dissertation focuses on China. Up until now, the vast majority of the empirical literature in this area are concerned with developed markets. During the time period covered by this dissertation, China was a rapidly growing emerging market, unique in that it was dominated by uninformed, individual traders. Market participants in this environment face issues such as asymmetric information and stock illiquidity. The conclusions drawn from this dissertation will be of interest to market regulators, traders and fund managers interested in investing in the Chinese equity market.