Pre-Trade Transparency in Call Auctions

Posted: 19 Feb 2009 Last revised: 21 Sep 2010

See all articles by Peter Hoffmann

Peter Hoffmann

European Central Bank (ECB) - Directorate General Research

Jos van Bommel

Luxembourg School of Finance

Date Written: February 15, 2009


We compare the auction mechanisms of two major European stock exchanges: Euronext (Paris) and Xetra (Frankfurt). During the call phase, the French exchange discloses five levels of limit orders and has a fixed closing time. The more opaque Xetra system only discloses the virtual clearing price and volume, and randomizes the ending time. For a sample of 126 matched stocks over a two year period, we find that Euronext’s auctions are more liquid and contribute more to price discovery than Xetra´s, and are followed by lower bid-ask spreads during the first minutes of continuous trading. We also find evidence of increased institutional trading during closing auctions, particularly on Euronext. Both exchanges see significant reversals after their auctions, which may be due to manipulation or a surplus of liquidity seekers.

Keywords: Market Microstructure, Pre-trade Transparency, Liquidity, Call Auctions

JEL Classification: G14, D44, G19

Suggested Citation

Hoffmann, Peter and van Bommel, Jos, Pre-Trade Transparency in Call Auctions (February 15, 2009). Available at SSRN:

Peter Hoffmann

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main

Jos Van Bommel (Contact Author)

Luxembourg School of Finance ( email )

4 Rue Albert Borschette
Luxembourg, L-1246

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