Price Impact: Continuous Trading, Closing Auctions, and Opening Auctions
51 Pages Posted: 23 Dec 2022 Last revised: 13 Jan 2024
Date Written: December 12, 2022
Abstract
Closing auctions have experienced significant growth over the last decade. We find that the trading cost due to price impact is significantly smaller in closing auctions than in the continuous market in the US. We also find that the trading costs for several popular trading strategies are smaller in closing auctions than in the continuous market. Opening auctions are less active than closing auctions and they have the largest price impact. The price impact is significantly correlated with stock characteristics such as exchange, price, and volatility in all three trading avenues.
Keywords: Price Impact, Auctions, Continuous Trading, Trading Costs, Anomalies
JEL Classification: G10, G11, G23, H55, H75, J32, D91
Suggested Citation: Suggested Citation