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Price Impact in Closing Auctions, Opening Auctions, and Continuous Markets: A Benchmark for Cost of Trading on Anomalies

Amit Goyal et al.

Journal of Financial and Quantitative Analysis2026https://doi.org/10.1017/s0022109026102592article
FT50AJG 4ABDC A*
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0.50

Abstract

Closing auctions account for about 10% of daily trading volume and offer a potentially attractive alternative to trading in the continuous market. We find that the price impact is lower in closing auctions than in the continuous market for all stocks except Nasdaq microcaps. Opening auctions are illiquid. We compute trading costs for anomalies based strategies by strategically placing orders in the lower cost mechanism. The annualized trading costs for long/short portfolios based on financial ratios such as profitability and investment range from 17 to 41 basis points (bps). Excluding microcaps, these costs fall to 9–21 bps in closing auctions.

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https://doi.org/https://doi.org/10.1017/s0022109026102592

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@article{amit2026,
  title        = {{Price Impact in Closing Auctions, Opening Auctions, and Continuous Markets: A Benchmark for Cost of Trading on Anomalies}},
  author       = {Amit Goyal et al.},
  journal      = {Journal of Financial and Quantitative Analysis},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0022109026102592},
}

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Price Impact in Closing Auctions, Opening Auctions, and Continuous Markets: A Benchmark for Cost of Trading on Anomalies

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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