Click first or last? Strategic order submission during the Euronext preopening session

65 Pages Posted: 23 Mar 2017 Last revised: 7 Dec 2023

See all articles by Selma Boussetta

Selma Boussetta

BxSE, University of Bordeaux

Laurence Daures (formerly Lescourret)

ESSEC Business School

Sophie Moinas

Universite de Toulouse 1 Capitole

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2023

Abstract

We examine traders' order submission strategies during the Euronext pre-open, which uses price-time priorities to arrange opening trades via a call auction. Preopening order submissions follow a J-shape pattern. Early orders are exclusively placed by slow brokers to strategically gain time priority. These orders are aggressive and partially executed at the open. They often occur in stocks with a large tick size and on days with expected liquidity shocks. Sophisticated traders arrive later, consistent with information leakage concerns. Using a preopening outage as natural experiment, we show the Euronext pre-open has value, for rival venues and without opening call.

Keywords: preopening period, strategic order submission, opening call auction, price discovery

JEL Classification: G14, G20

Suggested Citation

Boussetta, Selma and Daures, Laurence and Moinas, Sophie, Click first or last? Strategic order submission during the Euronext preopening session (December 1, 2023). Available at SSRN: https://ssrn.com/abstract=2939502 or http://dx.doi.org/10.2139/ssrn.2939502

Selma Boussetta

BxSE, University of Bordeaux ( email )

16, avenue Léon Duguit CS 50057
Pessac, Pessac 33608
France

HOME PAGE: http://https://www.bse.u-bordeaux.fr/en/bse/

Laurence Daures

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX
France
+33 1 34 43 33 62 (Phone)
+33 1 34 43 32 12 (Fax)

Sophie Moinas (Contact Author)

Universite de Toulouse 1 Capitole ( email )

2 Rue du Doyen-Gabriel-Marty
Toulouse, 31042
France

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