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Question of the Week - August 31st 2016

How much volume trades during opening and closing auctions for popular retail stocks?

 

Chart 1: Percent of Daily Volume Traded During the Opening Auction

 

Chart 2: Percent of Daily Volume Traded During the Closing Auction

  • Opening and closing auctions represent a large proportion of overall volume, and as we’ve shown in prior posts, are growing in popularity both in absolute dollar volume and as a percent of daily volume. Auctions are an especially useful mechanism for institutional investors hoping to access large liquidity pools or achieve specific investment prices. Here, we focus on four stocks that are popular with both institutional and retail investors to determine how auction trading compares to the overall universe of large cap stocks.
  • All four stocks we studied showed an increase in MOO and MOC volume over time; there is some reversion in MOO volume for our four stocks as well as the overall large cap universe.
  • Netflix and Facebook trade a much lower proportion of volume in the auctions compared to Amazon and Google. All four stocks trade a smaller percent of overall volume in auctions than the large cap universe overall. The discrepancy can potentially be explained by retail investors’ lower participation in the auctions.

Average percentage of daily volume is calculated by dividing auction volumes by the total volume for the stock for that day and averaging these percentages across the period. The “Large Cap” universe includes all US listed stocks above $5 billion market capitalization. Y2016 period covers Q1 and Q2 of 2016.

 

Refer to ITG Equity Related Analytics for information on available Equity Related Analytics.

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