Research On The Influence Of Call Auction Mechanism On The Liquidity Of The New OTC Market

The New OTC Market was born on January 16,2013,through continuous expansion and reform,the New OTC Market has completed the basic system design,infrastructure construction and initial scale accumulation,and has become a very important part of multi-level capital market of China.At the same time,the problem of insufficient liquidity in the New OTC Market has become more prominent.The intraday trading of New OTC Market was adjusted from negotiating transfer to call auction mechanism from January 15,2018,in an attempt to improve the illiquidity by changing the trading mechanism.Under the background of this policy,it is necessary to analysis the relationship between call auction mechanism and market liquidity systematically and deeply,the research is of great practical significance for the trading mechanism fully promoting the market liquidity and promoting the healthy development of the New OTC Market.This thesis analyzes the influential effect of the call auction on market liquidity from the angle of market microstructure theory,and selects the turnover and bid-ask spread as the indicators to measure stock liquidity,adding policy dummy variable and time dummy variable to make an empirical test.The empirical test uses propensitymatched analysis to obtain the control group matching with experimental group,and built a difference-in-differences model to analyze the effect of the call auction on market liquidity.The result shows: the call auction has significantly weakened the stock liquidity in the New OTC Market,and the effect of liquidity is different on different level of the New OTC Market.The reasons for the policy not as effective as expected include: improving market liquidity is not the direct goal of the call auction mechanism;the timing of the introduction of the call auction in the New OTC Market is not appropriate;the order matching frequency cannot meet the market demand;the market stock exit channel is not smooth enough obstacled the development of the New OTC Market.In order to improve the liquidity of the New OTC Market,we should promote refine market stratification,perfect the construction of the trading mechanism,enrich the market participants,and establish a two-way transfer mechanism and a longterm exit mechanism.