Closing auctions: Nasdaq versus NYSE

• 成果类型: Article
• 署名作者: Jegadeesh, Narasimhan; Wu, Yanbin
• 署名单位: Emory University; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.12.003
• 发表日期: 2022
• 页码: 1120-1139
• 关键词: Closing auctions; Price impact; liquidity; Floor traders; Nasdaq; NYSE

摘要

Closing auction volume steadily increased over the last decade, and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in Nasdaq and the NYSE. The NYSE offers more depth. In both exchanges, it takes about 3-5 days for the temporary component of the price impact to fully dissipate. Trading strategies that exploit this price impact and its reversals are significantly profitable.