Closing auctions set daily closing prices for US stocks and account for a striking 7.5% of
daily volume in 2018, up from 3.1% in 2010. We study closing auctions in the new regime of …

Electronic call auctions are used globally to open and close equity market trading; as such,
they are a critically important facility that needs to be better understood. The paper focuses …

We show that the consolidation of orders is important for producing efficient prices,
especially during times of high liquidity demand. The NYSE's centralized opening call …

We study the effects of the introduction of a closing auction (CA) on the microstructure on the
continuous trading phase in Borsa Italiana and Paris Bourse. We postulate and compare …

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to
open and close the market while the remainder of the day's trading continued to rely on the …

To reduce extraordinary price movement and to ensure more effective price formation at
closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012 …

Purpose This study investigates the impact of simultaneously replacing both midday single-
price call auction and lunch break with multi-price continuous trading on intraday volatility …

We assess the quality of opening and closing prices for Nasdaq stocks by examining the
effect that opening and closing call auctions (introduced in 2004) have had on price …

We identify a setting in which there is a predictable incentive for short sellers to manipulate
prices, and we find patterns consistent with short sellers manipulating prices. Specifically …

We examine how stock market closing price mechanisms affect liquidity, price ef-ficiency,
and market integrity. Using hand-collected data on every major mechanism change in 45 …