Abstract
We study closing auction market quality on NYSE and Nasdaq. Closing auction volume for a stock is near-exclusive to its listing exchange, and now accounts for over 10% of its total volume. NYSE floor brokers can submit auction orders later than other traders, and their orders remain hidden until minutes before auction clearance. We show that auction information is less accurate and closing price efficiency is significantly worse on NYSE due to the late submission option. Auction quality improves when NYSE halted floor trading during the COVID-19 pandemic. Our results highlight the tradeoff between auction flexibility and efficiency.
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