Closing Auctions: Nasdaq Versus NYSE

49 Pages Posted: 20 Nov 2020 Last revised: 3 Dec 2021

See all articles by Yanbin Wu

Yanbin Wu

Emory University - Goizueta Business School; University of Florida - Department of Finance, Insurance and Real Estate

Narasimhan Jegadeesh

Emory University - Department of Finance

Date Written: November 18, 2020

Abstract

Closing auction volume steadily increased over the last decade and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in the Nasdaq and the NYSE. The NYSE offers more depth. In both exchanges, it takes about 3–5 days for the temporary component of the price impact to fully dissipate. Trading strategies that exploit the price impact and reversals are significantly profitable.

Keywords: Closing auctions, price impact, liquidity, designated market makers, floor traders, Nasdaq, the NYSE

JEL Classification: G10, G12, G14

Suggested Citation

Wu, Yanbin and Jegadeesh, Narasimhan, Closing Auctions: Nasdaq Versus NYSE (November 18, 2020). Available at SSRN: https://ssrn.com/abstract=3732955 or http://dx.doi.org/10.2139/ssrn.3732955

Yanbin Wu (Contact Author)

Emory University - Goizueta Business School ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States

University of Florida - Department of Finance, Insurance and Real Estate ( email )

P.O. Box 117168
Gainesville, FL 32611
United States

Narasimhan Jegadeesh

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

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