PT - JOURNAL ARTICLE AU - Robert Kissell AU - Hans Lie TI - U.S. Exchange Auction Trends: <em>Recent Opening and</em> <br/> <em>Closing Auction Behavior, and the Implications</em> <br/> <em>on Order Management Strategies</em> AID - 10.3905/jot.2011.6.1.010 DP - 2010 Dec 31 TA - The Journal of Trading PG - 10--30 VI - 6 IP - 1 4099 - https://pm-research.com/content/6/1/10.short 4100 - https://pm-research.com/content/6/1/10.full AB - The trends and trading styles around the exchanges’ opening auction (OPEN) and closing auction (CLOSE) volumes are evaluated over the period January 2009–June 2010. Kissell and Lie find that,overall, small-cap stocks have higher auction percentages than large-cap stocks;NYSE large-cap stocks have higher auction percentages (CLOSE% and OPEN%) than NASDAQ large-cap stocks, but NASDAQ small-cap stocks have higher CLOSE% and OPEN% than the NYSE; and no long-term trends in auction volumes or any seasonal patterns are uncovered. A day-of-week effect (Fridays), however, demonstrates a higher daily percentage of auction volumes than any other day of the week. Special event days, such as FOMC, triple witching, earnings, index changes,month and quarter end, before/after holidays, and early close days, are also evaluated. The authors find that triple witching days are associated with higher CLOSE% and OPEN%, and that the FOMC is associated with lower CLOSE% and OPEN%. The other special event days are associated with an increase in CLOSE% and a decrease in OPEN%, or vice versa; for example, index change days are associated with a much higher CLOSE%, but a much lower OPEN%. A correlation study between daily volumes and auction volumes and the percentages of daily and auction volumes shows that, as expected, a positive correlation between raw daily volumes and auction volumes exists, but a negative correlation between daily volumes and auction volume percentages is also present.TOPICS: Analysis of individual factors/risk premia, exchanges/markets/clearinghouses, equity portfolio management