SSRNTrading, Microstructure & Execution
Trading Volume Shifts and Market Quality
The study reveals that high-volume closing auctions distort the closing price and reduce intraday liquidity in major European markets.
Featured in No. 40 on 13 Mar 2024 · on release day
- Released
- 13 Mar 2024
- First featured
- No. 40 · 13 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4757345
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).