Vestigial Tails: Floor Brokers at the Close in Modern Electronic Markets

COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading

“… Kye and Mizrach (2021) analyze the impact of the NYSE trading floor closure on market quality during the last 30 min of the trading day. Hu and Murphy (2021) and Jegadeesh and Wu (2022) examine the effect of the NYSE floor closure on liquidity during closing auctions. By contrast, our study examines the impact of the NYSE floor closure on liquidity, price efficiency, and informed trading during the entire trading day.…”

“… Kye and Mizrach (2021) analyze the impact of the NYSE trading floor closure on market quality during the last 30 min of the trading day and show that the closure has limited effects on market quality. Hu and Murphy (2021) show that closing auction market quality generally improved when the NYSE halted floor trading during the COVID-19 pandemic. Brogaard et al (2021) show that the closure of the NYSE trading floor led to higher effective and quoted spreads and larger pricing errors.…”

“… 1 Hu and Murphy (2021) note that 35% of NYSE orders are manually entered by floor brokers during closing auctions. …”

Order Routing Decisions for a Fragmented Market: A Review

“…The Markets in the Financial Instruments Directive (MiFID) was created by the European Union in 2004 to promote the of European financial markets. 5 See Atkins and Dyl (1997); Hu and Murphy (2021); Jain (2005); and Bessembinder and Rath (2008). Alternative Trading System (ATS) is a type of off-exchange that matches buyer and seller without going through a middleman.…”

Do volatility extensions improve the quality of closing call auctions?

“…In the European Union, since 2018, all regulated exchanges are required to apply volatility curbs in continuous trading as well as in call auctions. 2 In the United States, the efficiency of CCA prices are questioned by recent studies by Bogousslavsky and Muravyev (2020) and Hu and Murphy (2020).…”