Price Impact: Continuous Trading, Closing Auctions, and Opening Auctions

43 Pages Posted: 23 Dec 2022 Last revised: 21 Mar 2023

See all articles by Amit Goyal

Amit Goyal

University of Lausanne; Swiss Finance Institute

Narasimhan Jegadeesh

Emory University - Department of Finance

Yanbin Wu

University of Florida - Department of Finance, Insurance and Real Estate

Date Written: December 12, 2022

Abstract

The closing auction has experienced significant growth over the last decade, and it has become increasingly significant for traders. We find that the price impact of closing auctions in the US is significantly smaller than that in continuous markets. Opening auctions are typically less active and less liquid. The price impact is significantly correlated with stock characteristics such as exchange, price, and volatility in all three trading avenues. We also examine the trading costs of several common trading strategies. We find that the trading costs in closing auctions are smaller than those in the continuous market for all strategies.

Keywords: Price Impact, Auctions, Continuous Trading, Trading Costs, Anomalies

JEL Classification: G10, G11, G23, H55, H75, J32, D91

Suggested Citation

Goyal, Amit and Jegadeesh, Narasimhan and Wu, Yanbin, Price Impact: Continuous Trading, Closing Auctions, and Opening Auctions (December 12, 2022). Available at SSRN: https://ssrn.com/abstract=4300417 or http://dx.doi.org/10.2139/ssrn.4300417

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Narasimhan Jegadeesh

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

Yanbin Wu (Contact Author)

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

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

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