If there is evidence to be found either way, you may want to look into studies of the Taiwan Stock Exchange. In the past the TWSE had a similar mechanism to th

If there is evidence to be found either way, you may want to look into studies of the Taiwan Stock Exchange. In the past the TWSE had a similar mechanism to the one you suggest: 30-second call auctions all day long (as compared to other exchanges who typically only had auctions at opening and closing time, and did continuous trading the rest of the day). Basically they'd give one best bid/ask update on a stock, gather new orders for a while (it was slightly random, sometimes as little as 22 seconds IIRC), match them at the volume-maximising price, and send out the new best bid/ask update. (Within this structure there was still time priority --- i.e. you only had to wake up once every 30 seconds, but when you did you had to send your new order ASAP. Also there was no atomic price amendment message ... you had to send an order delete and then an order create message, which caused all sorts of hilarity when they decided to take more than 30 seconds to send you a cancel acknowledgement.) I read a study from 1998 basically supporting your position ... the authors concluded that "The call market method is more effective in reducing the volatility of high-volume stocks than low-volume stocks. This contradicts conventional wisdom which suggests that the call market method is superior for thinly traded stocks, while the continuous auction method is preferred for heavily traded stocks. The call market method does not impair liquidity and price discovery in the call market appears more efficient than in the continuous auction market." http://www2.hawaii.edu/~rheesg/Belgrade/Taiwan/TSEfinal.pdf http://www2.hawaii.edu/~rheesg/Belgrade/Taiwan/TSEfinal.pdf On the other hand, just a few months ago, the TWSE introduced continuous trading in response to pressure from exchange participants --- but only for warrants: http://www.twse.com.tw/en/about/press_room/tsec_news_detail.php?id=5635 http://www.twse.com.tw/en/about/press_room/tsec_news_detail.... http://www.twse.com.tw/en/products/trading_rules/mechanism01.php#7 http://www.twse.com.tw/en/products/trading_rules/mechanism01... At this point I don't know yet of any detailed studies of the effects of that change. Also it's been years since I traded TW stocks, and I never traded TW warrants, so unfortunately off the top of my head I can't offer you an anecdotal account of the effects of the change either.