开市前议价期流动性形成的理论分析

A Theoretical Analysis of Liquidity Formation during Pre-opening Period

股市开市前议价期存在于世界一些主要证券交易所。投资者可以在这段时间内自由地、无成本地提交、修改或者撤销不受限制的交易指令。在信息不对称和流动性提供者参与市场必须支付成本的假设下,我们构建一个简单模型,考察了存在和不存在开市前议价期两种市场机制下的流动性形成情况。定义了这个模型的均衡解,证明了开市前议价期提高了市场流动性和社会福利。

Many stock markets around the world exist a pre - opening period before trading actually occurs. The orders placed in this phrase are not binding, since they can be cancelled and modified at any moment and at no cost by the traders. Under the assumptions of asymmetry information and liquidity providers having to pay a cost to participate in the market, we develop a simple model and examine the existence of the equilibrium of the model under existing and no existing pro - opening period. We show that the presence of the pre - opening period enhance the liquidity and improve society welfare.