Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 31, 2017 erstellt
Description:
Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction mechanism. We confirm that the introduction of a volatility extension indeed reduces extraordinary closing price volatility, deters market manipulation strategies, and makes the auction more attractive to investors. Our findings provide guidance to policy makers who are due to introduce volatility extensions at NYSE and NASDAQ in 2017. In the European Union, call auction volatility curbs become mandatory under Markets in Financial Instruments Directive II in 2018