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Statistik › Intraday och marknadsmikrostruktur › Stängningsauktionen

The closing auction has doubled in size and most of its price move reverses by morning

Closing auction: 85%+85%ClosingauctionLast five minutes of continuous trading: 19%+19%Last five minutesof continuous trading

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.

7.48%Closing auction share of daily dollar volume in 2018, against 3.11% in 2010
8.1 bpMean absolute auction deviation from the 16:00 midquote
About 85%Share of that deviation reversing by the next morning
About 19%Next-morning reversal for the last five minutes of continuous trading

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Below this point there are 4 sections and 1 named source, roughly 450 words of it. Every figure carries the source it came from and the date the data is from.

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