BICEPS/SSE Riga Research Seminar: The rise of trading on close: drivers and price discovery implications

We kindly invite you to the BICEPS/SSE Riga research seminar! It will take place on Thursday, June 13 at 17.00 in room 611 with the presentation:

“The rise of trading on close: drivers and price discovery implications” by Marta Khomin (University Technology Sydney), co-authored with Talis Putnins (SSE Riga, University Technology Sydney).

Abstract

In many markets, trading volumes have shifted dramatically towards the close of the market, putting increasing stress on closing mechanisms. We show that index investing, including ETFs, is by far the most important driver of this trend. The rise in algorithmic trading and resulting falling trade sizes also increases the demand to trade on close, where liquidity is consolidated. Using exogenous shocks to dark trading, we find a substitution effect between dark pools and trading on close, both being mechanisms favored by large institutional investors. Finally, we show that the increasing trading on close does not tend to increase the informativeness of closing prices, highlighting the continued importance of the continuous trading session for price discovery.

No prior registration for the seminar is necessary. For any questions about the seminar, or if you have a colleague that would like to be added to the distribution list, please write to Nicolas Gavoille.