Abstract:To improve the efficiency of the closing price, many equity exchanges apply volatility extensions to their closing call auctions (CCAs). If an imminent auction execution implies a large price change, the order submission period is extended to let traders reconsider their orders. This paper uses the introduction of closing auction volatility extensions at NAS-DAQ Nordic to provide the first analysis of the effects of such mechanisms. We find that the volatility extensions reduce transitory volatility and deter … Show more
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