The Role of Pre-Opening Mechanisms in Fragmented Markets

60 Pages Posted: 23 Mar 2017 Last revised: 5 May 2017

See all articles by Selma Boussetta

Selma Boussetta

University of Toulouse 1

Laurence Daures Lescourret

ESSEC Business School

Sophie Moinas

Toulouse School of Economics

Date Written: May 3, 2017


To facilitate price discovery, Euronext Paris has always relied on a transparent pre-opening phase and on a call auction to open continuous markets. Fast trading, competition from alternative trading venues and the poor volume at the open (2%) however question the role of these non-trading sessions. Using a unique dataset of stocks cross-traded on Euronext Paris, BATS and Chi-X, we explore the behavior of traders during the preopen based on their speed and nature of orders (proprietary, agency or market-making). We show that slow brokers submit orders very early, and most of them are executed within the day. In contrast, fast prop traders or dedicated liquidity providers only participate in the last half-hour. Interestingly the preopening message activity of slow brokers is strongly related to the price discovery process across trading venues. Finally, we show that although tentative clearing prices of the preopen contain information, they are followed by a reversal in the following 15 minutes across the different platforms, reflecting price pressure and liquidity issues around the open.

Keywords: pre-opening period, market fragmentation, liquidity, price discovery

JEL Classification: G12, G14, G20

Suggested Citation

Boussetta, Selma and Daures Lescourret, Laurence and Moinas, Sophie, The Role of Pre-Opening Mechanisms in Fragmented Markets (May 3, 2017). Available at SSRN: or

Selma Boussetta

University of Toulouse 1 ( email )

Place Anatole France
Toulouse Cedex, F-31042

Laurence Daures Lescourret

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)

Toulouse School of Economics ( email )

Toulouse 1 Capitole University
Place Anatole-France
Toulouse Cedex, F-31042

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