Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 12, 2022 erstellt
Beschreibung:
The closing auction has experienced significant growth over the last decade, and it has become increasingly important to traders. We find that the price impact in closing auctions in the US is significantly smaller than that in continuous markets. The opening auctions are relatively less active and less liquid. The price impact is significantly correlated with stock characteristics such as exchange, price, and volatility in all three trading avenues. We also examine the trading costs of several common trading strategies and find that the trading costs in closing auctions are smaller than that in the continuous market for all strategies