Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra

Jos van Bommel () and Peter Hoffmann
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Peter Hoffmann: LSF

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: We compare the call auction mechanisms of two major European stock exchanges. The French Euronext auctions disclose five levels of limit orders and have fixed ending times. The German Xetra auctions only disclose the virtual clearing price and volume, and have random ending times. For a sample of 126 matched stocks over a two year period, we find that Euronext auctions are more liquid, contribute more to price discovery, and are followed by lower bid-ask spreads. Both exchanges see significant reversals after their auctions, implying positive expected profits for liquidity suppliers. We also find that small stocks see relatively high turnover at the open while large stocks trade more during the close.

Keywords: The Market Microstructure; Call Auctions (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:crf:wpaper:11-9

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