Statistiche › Mercati e borse globali › Ticks and the close
After the MiFID II tick regime the closing auction grew a quarter and its overnight reversal disappeared
| Misura | 2017 | 2018 | Test |
|---|---|---|---|
| Reversion coefficient, returns above 10bp, Europe | -0.297 | +0.027 | Significant at 1% in 2017, not significant in 2018 |
| Reversion coefficient, returns above 30bp, Europe | -0.406 | +0.061 | Same pattern |
| Reversion coefficient, returns above 10bp, United States | Present | -0.693 | Significant at 1% in both years |
| Share of auctions moving more than 30bp, European large caps | 7.35% | 11.58% | Significant at 1% |
STOXX Europe 600 large caps against a benchmark of 250 randomly selected S&P 500 stocks, which were not subject to MiFID II. A negative coefficient means a large auction move reverses overnight. This is a preprint and has not been through peer review.
Closing auction volume in European large caps rose 26% in 2018 against 2017, and the overnight reversion of large auction price moves vanished. The same test on 250 United States stocks shows reversion still present in 2018.
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