Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
The trends and trading styles around the exchanges’ opening auction (OPEN) and closing auction (CLOSE) volumes are evaluated over the period January 2009–June 2010. Kissell and Lie find that,overall, small-cap stocks have higher auction percentages than large-cap stocks;NYSE large-cap stocks have higher auction percentages (CLOSE% and OPEN%) than NASDAQ large-cap stocks, but NASDAQ small-cap stocks have higher CLOSE% and OPEN% than the NYSE; and no long-term trends in auction volumes or any seasonal patterns are uncovered. A day-of-week effect (Fridays), however, demonstrates a higher daily percentage of auction volumes than any other day of the week. Special event days, such as FOMC, triple witching, earnings, index changes,month and quarter end, before/after holidays, and early close days, are also evaluated. The authors find that triple witching days are associated with higher CLOSE% and OPEN%, and that the FOMC is associated with lower CLOSE% and OPEN%. The other special event days are associated with an increase in CLOSE% and a decrease in OPEN%, or vice versa; for example, index change days are associated with a much higher CLOSE%, but a much lower OPEN%. A correlation study between daily volumes and auction volumes and the percentages of daily and auction volumes shows that, as expected, a positive correlation between raw daily volumes and auction volumes exists, but a negative correlation between daily volumes and auction volume percentages is also present.
TOPICS: Analysis of individual factors/risk premia, exchanges/markets/clearinghouses, equity portfolio management
Footnotes
Disclaimer
This material is intended for informational purposes only and is not to be construed as a solicitation or an offer to buy or sell any securities or related financial instruments. No offer of any interest in any product will be made in any jurisdiction in which the offer, solicitation or sale is not permitted, or to any person to whom it is unlawful to make such offer, solicitation or sale. Not all products and services are available to citizens or residents of all countries. The key symbol and UBS are among the registered and unregistered trademarks of UBS. © UBS 2010. All rights reserved.
- Copyright © 2010 UBS. All rights reserved. Not to be reproduced or redistributed without permission.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600