Click first or last? Strategic order submission during the Euronext preopening session

Abstract

We examine traders' order submission strategies during the Euronext pre-open, which uses price-time priorities to arrange opening trades via a call auction. Preopening order submissions follow a J-shape pattern. Early orders are exclusively placed by slow brokers to strategically gain time priority. These orders are aggressive and partially executed at the open. They often occur in stocks with a large tick size and on days with expected liquidity shocks. Sophisticated traders arrive later, consistent with information leakage concerns. Using a preopening outage as natural experiment, we show the Euronext pre-open has value, for rival venues and without opening call.

Keywords: preopening period, strategic order submission, opening call auction, price discovery

JEL Classification: G14, G20