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Closing auctions: Nasdaq versus NYSE

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  • Jegadeesh, Narasimhan
  • Wu, Yanbin

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 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 this price impact and its reversals are significantly profitable.

Suggested Citation

  • Jegadeesh, Narasimhan & Wu, Yanbin, 2022. "Closing auctions: Nasdaq versus NYSE," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1120-1139.
    • Handle: RePEc:eee:jfinec:v:143:y:2022:i:3:p:1120-1139
    DOI: 10.1016/j.jfineco.2021.12.003
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    Cited by:

    1. Chung, Kee H. & Chuwonganant, Chairat, 2023. "COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    2. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.

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    More about this item

    Keywords

    Closing auctions; Price impact; Liquidity; Floor traders; Nasdaq; NYSE;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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