Click First or Last? Strategic Order Submission During the Euronext Preopening Session
研究了泛欧交易所开盘前阶段交易者的订单提交策略，发现成熟交易者因担心信息泄露而晚到，而慢速客户早到并提交激进订单以获取时间优先权，这些行为有助于价格发现。
We examine traders’ order submission strategies during the Euronext preopen, which uses price-time priorities to arrange opening trades via a call auction. Preopening order submissions follow a J-shape pattern. Sophisticated proprietary traders arrive late, consistent with information leakage concerns. Slow clients arrive early and place aggressive orders to advertise their trading needs and strategically gain time priority. Their early order submissions often occur in stocks with an increase in the tick size and on days with expected liquidity shocks. They also contribute to daily price discovery. Using a preopening outage as a natural experiment, we show that the Euronext preopen improves price discovery on a rival venue. These benefits hold even in the absence of an opening auction taking place. This paper was accepted by Lin William Cong, finance. Funding: Financial support from the Agence Nationale de la Recherche [Grants ANR-16-CE26-0008, ANR-17-EURE-0010 (Investissements d’Avenir program)]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.03998 .