| The basic insight of market microstructure theory is that the trading mechanism, as an endogenious variable determining the price discovering process, have impacts on maket liquidity, price volatility and market efficiency, etc. Investigating the implications of the impacts is significative for the market regulation and investors. Based on the analysis of the characteristics of trading mechanisms and the traders' trading strategies, this dissertation is mainly concerned with the impacts of the reforms of the opening and closing mechanisms, and the continuous trading mechanism on the market efficiency, regarding liquidity and volatility. The main contents and conclusions are as follows.Firstly, this dissertation studies the impacts of increasing the market transparency during the call auction process on the market behavior. By analyzing the behavior changes when traders submit orders, this dissertation develops a rational expectation equilibrium model in the open-call auction market, which is compared with that in the close-call auction market. The results indicat that the private information is more revealed, the market is larger in depth and the price is less volatile in the open-call auction market than in the close one.Secondly, this dissertation tests the empirical implications of the theoretical results with the opening trade data in Shanghai stock exchange and the closing trade data in Shenzhen stock exchange. The results indicate that the open-call auction attracts more traders to participate in the opening auction so that the opening price is more efficiency. Futhermore, the open-call auction helps to impair the traders' excessive response to the opening information, which makes continuous market more stable. By and at the closing, the informed traders' and manipulators' changing the original trading strategies causes the decreases of market liquidity and price volatility. However, the information efficiency of the closing price is obviously increased.And then, this dissertation studies the order matching method for the price determination during the call auction process. In order to reflect the unimbalance between buy and sell orders and keep the continuity of trading prices, this dissertation introduces the market pressure principle, the reference price principle and the modified Vickrey double auction model (which is proved to be the exclusive effective algorithm) into the multi-unit call auciton market, and designs a new method of matching orders. It is illustrated that this new matching method can aid more effectively to the control of price manipulation and the discover of rational prices.Lastly, this dissertation investigates the impacts of increasing the transparency of the limit order book on market liquidity and price volatility in the continuous market. It is found that the increase in the transparency will decrease the information asymmetry among the traders, which implies lower adverse selection cost, and therefore leads to more traders as well as increased market depth and decreased price volatility.
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