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The Role of Daytime Stock Auctions in Intraday Return Seasonality

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  • Ekaterina Serikova

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.

Suggested Citation

  • Ekaterina Serikova, 2019. "The Role of Daytime Stock Auctions in Intraday Return Seasonality," Working Papers on Finance 1914, University of St. Gallen, School of Finance.
    • Handle: RePEc:usg:sfwpfi:2019:14
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    File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1914.pdf
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Market microstructure; market design; auctions; intraday periodicity;
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