A Study On The Closing Mechanism In The Context Of Internationalization Of A-share Market

This paper mainly focuses on the amendments to the closing trading mechanism of Shanghai Stock Exchange on August 20,2018.These amendments changed the determination of closing price from the weighted average price of one minute continuous auction before the last transaction to three-minute call auction.This paper mainly researches on the difference between continuous auction and call auction in A-share market from three perspectives: the deviation between closing price and the equilibrium price before close session,the manipulation of closing price,and whether the closing stage can meet the needs of investors for large-volume trading.This paper mainly uses descriptive statistics and DID model to analyze Shanghai,Shenzhen and Hong Kong stock markets.This paper finds that in the closing session of A-share market,the threeminute call auction can generate lower close-equilibrium price deviation than one-minute continuous auction,and it is more difficult to manipulate the price.At the same time,the three-minute call auction can better satisfy the investors' needs to trade at the closing session.In addition,when comparing with the international mature market,represented by Hong Kong stock market,the empirical results of three-minute call auction are more similar to mature market in these three aspects.Therefore,the amendments to the closing trading mechanism of the Shanghai Stock Exchange have facilitated the entry of foreign capital in the context of the internationalization of A-share market,and provided better infrastructure for the large capital inflow and outflow brought about by internationalization.In addition,this paper also finds that the effect of changing trading mechanism is different for stocks with different market value and different activity.For stocks with small market value and low activity,the benefit of call auction is more obvious.Therefore,for trading mechanism policymakers,on the one hand,they should pay more attention to stocks with small market value and low activity,on the other hand,they can develop more targeted trading mechanisms according to market value and activity.