In order to investigate whether the trading mechanism affect the stylized facts,an agent-based simulation model for continuous auction market was built,in which agents fell into fundamentalists or random traders.

From the empirical study,the authors find that comparing with limited orders,market order is more popular,especially when the market is not stable.

On the basis of the data from 170 SSE stocks of Shanghai Exchange, an empirical analysis of the stock price behavior under two different trading mechanisms was made by comparing the characteristics of opening to open returns(the periodic call mechanism) with the ones of closing to close returns(the continuous auction mechanism).