本研究藉由台灣期貨交易所由每10秒撮合1次之集合競價(call auction)改為連續競價(continuous auction) 之機會，探討集合競價與連續競價之市場技動性差異的原因。我們用約500 萬筆日肉交易資料進行實證，結果顯示集合競價市場暫時性的價格控動較低，其主要原因有二1.集合競價的買賣價跳動(bid ask bounce)情形較緩和，2.集合競價每次交易之參與者較多，成交價格偏離均衡價值之幅度較小。此外，我們發現集合競價穩定市場價格之功能優於連讀競價，在下列兩種情境更顯著:1.資訊不對稱程度較高時，2. 交易較熟絡之商品。本研究之結果提怯{可以世界主要股市開盤採取集合競價，以及柯以在市場異常時實施暫停交易(trading halt) 措施之解釋;同時提供主管機構如何藉由競價機制選擇種定金融市場之訊息，此訊息對處於金融危機、發生重大政治經濟事件時期、以及市場較不成熟(例如以散戶爵主)階段的交易機制決策，深具參考價值。

This research investigates why the market volatility of call auctions is different
from that of continuous auctions, using the shift from call auctions (one
clearing every 10 seconds) to continuous auctions in the Taiwan Futures
Exchange. Through an empirical study of 5,000,000 intraday transactions,
we find that there is lower temporary price volatility in call auctions. The
lower volatility of call auctions is due to two major reasons: first, the bid
ask bounce in call auctions is moderate; second, more participants join each
transaction in call auctions therefore the transaction price deviates less from
the equilibrium value. Moreover, we also find that call auctions may stabilize
market prices, especially under the following two circumstances: first, when
information is highly asymmetric; second, when an instrument is more actively
traded. The findings of this research help to explain why the major
stock markets in the world adopt call auctions and why a trading halt is
implemented when the market is unstable. The result also offers the governing
authority a way to choose financial-market-stabilizing information. The
information is important in a financial crisis, during important politicoeconomic
events, and for immature markets (e.g., a market dominated by
individual investors)