Estadísticas › Intraday y microestructura de mercado › La subasta de cierre
The closing auction has doubled in size and most of its price move reverses by morning
Share of the price deviation that reverses by the next morning. The auction coefficient is about minus 0.85, rising to about minus 0.95 after adjusting for the half-spread, minus 1.10 for large stocks and minus 0.85 for small ones. For the largest 1% of spread deviations, 66% reverses. The effect is specific to the auction, not to the end of the day.
The US closing auction grew from 3.1% to 7.5% of daily dollar volume in eight years. Its price deviates from the four o'clock midquote by 8.1 basis points on average, and about 85% of that deviation is gone by the next morning.
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