Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets
研究了纽交所和纳斯达克收盘拍卖机制差异，发现纽交所允许场内经纪人提交延迟订单虽增加灵活性，但导致价格反转更频繁，降低了价格效率。
The closing auction is an increasingly important trade mechanism due to the rise of passive funds that require closing price execution. We study differences in auction mechanism design on NYSE and Nasdaq that may affect closing price efficiency. Unlike Nasdaq, NYSE allows late auction orders through its floor brokers, providing traders with more flexibility to mitigate or create large last-minute auction imbalances. Price changes in the closing auction are more likely to reverse on NYSE compared with Nasdaq, suggesting greater price inefficiency in NYSE closing auctions. Larger last-minute abnormal imbalances on NYSE, particularly in stocks where auction competition may be inhibited by relatively high floor broker auction fees, explain these stronger reversals. Evidence from the NYSE floor closure during the COVID-19 pandemic supports a causal interpretation. Our results highlight an important tradeoff between auction flexibility and price efficiency. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.00884 .