The Role of Daytime Stock Auctions in Intraday Return Seasonality

59 Pages Posted: 4 Sep 2019 Last revised: 7 Oct 2019

See all articles by Ekaterina Serikova

Ekaterina Serikova

University of St. Gallen - Swiss Institute of Banking and Finance

Date Written: July 1, 2019

Abstract

The paper provides a fresh look at the role of daytime auctions in intraday periodicity of stock returns. First, I show that daytime auctions, together with market opening and market closing intervals, drive the periodicity of stock returns. Second, by applying the model of infrequent rebalancing, I find that price impact is the highest during the fifteen-minute interval after daytime auctions. Combining this evidence with high realized returns, high volume changes and high return volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a concentration of liquidity traders. Small, low-fragmented stocks heavily traded on the home market show the strongest evidence for infrequent rebalancing after the daytime auctions. Finally, I show that post-auction returns predict returns before the US market opening and before the domestic market closing, which might be further evidence on clustered liquidity trading.

Keywords: market microstructure, market design, auctions, intraday periodicity

Suggested Citation

Serikova, Ekaterina, The Role of Daytime Stock Auctions in Intraday Return Seasonality (July 1, 2019). University of St.Gallen, School of Finance Research Paper No. 2019/14 . Available at SSRN: https://ssrn.com/abstract=3447100 or http://dx.doi.org/10.2139/ssrn.3447100

Ekaterina Serikova (Contact Author)

University of St. Gallen - Swiss Institute of Banking and Finance ( email )

Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland

Register to save articles to
your library

Register

Paper statistics

Downloads
27
Abstract Views
318
PlumX Metrics