@article{2442526489a7404997261bbb312e940e,
title = "Who trades at the close? Implications for price discovery and liquidity",
abstract = "Closing auctions set daily closing prices for U.S. stocks and account for a striking 7.5% of daily volume in 2018, up from 3.1% in 2010. We study closing auctions in the new regime of record volume. Closing auctions appear to match volumes at low cost: closing prices typically match pre-close bid or ask prices, and price impact is lower than during continuous trading. Auction price deviations revert quickly and almost completely, on average. Auction-to-intraday volume spikes on S&P 500 additions and increases permanently afterwards, suggesting that closing volume is fueled directly and indirectly by the growth of indexing and ETFs.",
keywords = "Closing auction, Liquidity, Passive investing, Price pressure",
author = "Vincent Bogousslavsky and Dmitriy Muravyev",
note = "☆ We greatly appreciate comments from two anonymous referees, Liyan Yang (the Editor), Snehal Banerjee, Hank Bessembinder, Douglas Cumming (discussant), Shaun Davies, Terry Hendershott, Edwin Hu (discussant), Slava Fos, Bj{\"o}rn Hagstr{\"o}mer (discussant), Marc Lipson, Charles Martineau, Dermot Murphy (discussant), Jayoung Nam (discussant), Michael Pagano (discussant), Neil Pearson, Jeff Pontiff, Chris Reilly, Barbara Rindi (discussant), Gideon Saar, Andriy Shkilko, Paul Whelan, and Haoxiang Zhu and seminar participants at the 3rd Future of Financial Information Conference, 7th Annual Conference on Financial Market Regulation, AFA Annual Meeting, Boston College, Chapman University, Copenhagen Business School, Cornell University, European Finance Association Annual Meeting, FMA Annual Meeting, Microstructure Exchange, Plato Market Innovator Conference, University of Alberta, and University of Cincinnati. This paper was previously circulated under the title “Should We Use Closing Prices? Institutional Price Pressure at the Close.” We are responsible for all errors.",
year = "2023",
month = nov,
doi = "10.1016/j.finmar.2023.100852",
language = "English (US)",
volume = "66",
journal = "Journal of Financial Markets",
issn = "1386-4181",
publisher = "Elsevier B.V.",
}