Does a pre-open matter in fragmented markets?

59 Pages Posted: 23 Mar 2017 Last revised: 30 Dec 2020

See all articles by Selma Boussetta

Selma Boussetta

University of Bordeaux - GREThA (Research Group in Theoretical and Applied Economics); University of Bordeaux

Laurence Daures (formerly Lescourret)

ESSEC Business School

Sophie Moinas

Universite de Toulouse 1 Capitole

Date Written: December 2020


Opening of markets, which might differ across trading venues, is crucial for the daily price discovery. Using a unique dataset of stocks cross-traded on Euronext (which opens with a call auction preceded by a preopening phase) and Chi-X (which does not), we find that despite a drastic reduction of the opening volume from 10% in the 1990s to 1.5%, a preopen still eases price discovery on Euronext but also on Chi-X. Surprisingly, we document evidence of early activity in the preopening period and show that early indicative clearing prices also facilitates price discovery. Exploring the data on preopening orders and messages by speed and account type, we find that the preopen is strategically used by slow brokers to gain time priority. They submit orders very early, especially in stocks characterized by a large tick size and on days with expected liquidity shocks. Interestingly, these early order imbalances contribute to price discovery around the open on both Euronext and Chi-X.

Keywords: price discovery, market fragmentation, preopening period, call auction

JEL Classification: G14, G20

Suggested Citation

Boussetta, Selma and Boussetta, Selma and Daures, Laurence and Moinas, Sophie, Does a pre-open matter in fragmented markets? (December 2020). Available at SSRN: or

Selma Boussetta

University of Bordeaux - GREThA (Research Group in Theoretical and Applied Economics) ( email )

Avenue Léon Duguit
Pessa, 33608
0650152663 (Phone)
33400 (Fax)

University of Bordeaux ( email )

Avenue Léon Duguit
Bordeaux, 33000

Laurence Daures

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
+33 1 34 43 33 62 (Phone)
+33 1 34 43 32 12 (Fax)

Sophie Moinas (Contact Author)

Universite de Toulouse 1 Capitole ( email )

2 Rue du Doyen-Gabriel-Marty
Toulouse, 31042

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics