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Statistikk › Intraday og markedsmikrostruktur › Opening auction

The opening auction is a fifth the size of the close and more expensive than trading all day

Microcap, opening auction
3.34
Microcap, continuous market
2.13
Small cap, opening auction
1.70
Small cap, continuous market
1.51
Large cap, opening auction
1.34
Large cap, continuous market
0.91

Square root price impact coefficients, multiplied by 100, from a second stage regression on NYSE and Nasdaq common stocks, January 2012 to December 2021. Higher means a given order size moves the price more. The opening auction is worse than continuous trading in every size group, and the gap is widest in large caps on a proportional basis.

The opening auction averages 1.58% of daily volume against 7.10% for the close, and its price impact coefficient is higher than the continuous market's for every size group. The closing auction is cheaper than continuous trading for everything except Nasdaq microcaps.

1.58%Opening auction share of average daily volume, mean
7.10%Closing auction share of average daily volume, mean
3.34Opening auction impact coefficient, microcaps, t = 12.14
2.13The same measure in the continuous market, t = 10.51

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