Abstract The paper studies the impact of closing call auction on market efficiency based on the event that Shenzhen Stock Exchange adopting closing call auction on 1st July, 2006. The results show that trading volume and volatility and relative bid ask spread are significantly declined after the Shenzhen Stock Exchange adopting the closing call auction. The explanatory power of the market model has been significantly increased on post event period. The results of price synchronicity confirms the closing call auction enhances the market efficiency significantly.
2012, Vol. 1 
