Click First or Last? Strategic Order Submission During the Euronext Preopening Session

• 成果类型: Article; Early Access
• 署名作者: Daures, Laurence; Moinas, Sophie; Boussettac, Selma
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.03998
• 发表日期: 2025
• 关键词: preopening period; strategic order submission; opening call auction; Price discovery

摘要

We examine traders' order submission strategies during the Euronext preopen, which uses price-time priorities to arrange opening trades via a call auction. Preopening order submissions follow a J-shape pattern. Sophisticated proprietary traders arrive late, consistent with information leakage concerns. Slow clients arrive early and place aggressive orders to advertise their trading needs and strategically gain time priority. Their early order submissions often occur in stocks with an increase in the tick size and on days with expected liquidity shocks. They also contribute to daily price discovery. Using a preopening outage as a natural experiment, we show that the Euronext preopen improves price discovery on a rival venue. These benefits hold even in the absence of an opening auction taking place.