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境外成熟市场普遍采用集合竞价的收盘模式,主要分为以美国市场为代表的收盘时点集合竞价机制和以欧洲市场为代表的传统集合竞价两种模式。我国深市收盘方式与欧洲模式基本一致,差异在于欧洲模式还有价格波动延时、随机结束等制度安排。本文通过对比分析境外主要市场集合竞价收盘机制的设计思路和主要模式,基于深市交易数据进行实证分析,采用交易重演方法研究境外收盘交易机制的有关措施在我国股市的适用性。结果显示深市现阶段暂不适合引入收盘市价订单、收盘订单提前提交并披露、收盘随机结束等交易机制,建议考虑实施盘后定价交易并继续对波动延时机制进行深入研究。
The overseas mature markets generally adopt the closing bidding mode of the collective bidding. They are mainly divided into two modes: the bidding mechanism at the closing time point represented by the US market and the traditional collective bidding represented by the European market. China’s Shenzhen market approach and the European model is basically the same, the difference lies in the European model as well as price fluctuations delay, random end of institutional arrangements. This article compares and analyzes the design method and the main mode of the closing bidding mechanism of the overseas major markets, makes an empirical analysis based on the Shenzhen-Shenzhen trading data, and uses the transaction replay method to study the applicability of the relevant measures of the offshore closing trading mechanism in the stock market of our country. The results show that Shenzhen is not suitable for the current introduction of closing market orders, closing orders submitted in advance and disclosure, close the end of the random trading mechanism, it is recommended to consider the implementation of after-hours pricing trading and continue to study the volatility delay mechanism.