Ester Felez Vinas collects the award “Best Paper on Stock Markets”

The paper is co-authored with Talis Putnins from University of Technology Sydney and Sean Foley from University of Sydney.

The 26th Finance Forum conference was held in Santander, Spain, on the 5th and 6th July 2018.

The abstract of the paper:

We study the effects that different closing mechanisms have on market efficiency and integrity by exploiting the change in closing mechanism of 43 exchanges around the world. Delineating two main categories of closing mechanisms, we find that batch facilities, in particular call auctions, significantly improve price efficiency relative to last-trade mechanisms regardless of the level of development of the market or the liquidity of the stock.

For developed markets, the introduction of a closing auction also translates into improvements of market integrity. Further, we find evidence supporting the importance of auction design in boosting market quality. Closing auctions tend to be more beneficial if they integrate a randomized closing time and price stabilization systems. Our results have implications for regulators and exchanges seeking to improve the efficiency and integrity of their capital markets.