Müller, LouisLouisMüller2023-04-132023-04-132022-09-19https://www.alexandria.unisg.ch/handle/20.500.14171/108261The three articles presented in this dissertation are addressing various topics in market microstructure in and around closing auctions in equity markets. Despite the growing market share of closing auctions relative to the continuous trading phase, academia has devoted relatively little research towards closing auctions. This dissertation in particular has been composed in cooperation with SIX Securities & Exchanges (SIX), using granular order-level data from their lit equities exchange of Swiss stocks. The first chapter of this dissertation focuses on the volume traded in closing auctions. The analysis gauges the aggregated level of patience across all investors following continuous trading phases with varying underlying market conditions. The market conditions investigated contain both execution risk and liquidity. Moreover, the analysis explores how the marginal effect with respect to these market conditions varies when including expectations of how much volume will be traded in the subsequent closing auction. The second chapter focuses on closing auctions on a more granular level, in that it investigates the process of price discovery throughout the 10-minute auctions. For this purpose, snapshots of the order book at various times during the auction are taken and uncrossed, in order to capture inflows and outflows of liquidity and the respective effect on hypothetical closing price. The paper thereby underlines the different roles investors using market- or limit orders assume during closing auctions. The third and final chapter studies the compositions of closing order books at the end of the auction. It simulates the outflow of various percentages of liquidity from the top of the order book to visualize the distribution of price dislocations. Subsequently, the effects of the ratio between market- and limit orders on overnight returns are investigated. Finally, the chapter depicts a normalized version of the weighted price discovery contribution metric in order to compare the information content of closing returns to overnight returns.enAktienmarktAuktionLiquiditätPreisbildungEDIS-5237closing call auctionsOrderbooksdoctoral thesis