@article {Kissell10, author = {Robert Kissell and Hans Lie}, title = {U.S. Exchange Auction Trends: Recent Opening and Closing Auction Behavior, and the Implications on Order Management Strategies }, volume = {6}, number = {1}, pages = {10--30}, year = {2010}, doi = {10.3905/jot.2011.6.1.010}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The trends and trading styles around the exchanges{\textquoteright} opening auction (OPEN) and closing auction (CLOSE) volumes are evaluated over the period January 2009{\textendash}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}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/6/1/10}, eprint = {https://jot.pm-research.com/content/6/1/10.full.pdf}, journal = {The Journal of Trading (Retired)} }