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Selma Boussetta

GREThA, université de Bordeaux

« The role of pre-opening mechanisms in fragmented markets »

co-écrit avec  L. Lescourret et S. Moinas

Abstract: To facilitate price discovery, Euronext Paris has always relied on a pre-opening phase. Fast trading, competition from alternative platforms and poor volume at the open (2%) questions the role of these non-trading sessions. Using a unique dataset of stocks cross-traded on Euronext, BATS and Chi-X, we investigate the pre-opening behavior of tradersbased on their speed and type (traders, brokers or market-makers). We find that the pre-opening activity of fast traders is positively related to price discovery across all platforms. Slow brokers, submitting orders very early, contribute to price discovery but only on Euronext. Using an exogenous technological glitch that delayed the pre-opening, we show that the delay increased (reduced) the presence of slow brokers (fast traders). Price discovery on Euronext significantly decreased on the day of the glitch.