To improve the efficiency of the closing price, many equity exchanges apply volatility extensions to their closing call auctions (CCAs). If an imminent auction execution implies a large price change, the order submission period is extended to let traders reconsider their orders. This paper uses the introduction of closing auction volatility extensions at NASDAQ Nordic to provide the first analysis of the effects of such mechanisms. We find that the volatility extensions reduce transitory volatility and deter price manipulation at the close. Consistent with increased trust in the mechanism, the CCA attracts higher volumes after the change.

中文翻译：

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波动率扩展是否会提高收盘集合竞价的质量？

为了提高收盘价的效率，许多股票交易所将波动性扩展应用于其收盘集合竞价 (CCA)。如果即将执行的拍卖意味着价格的大幅变动，则订单提交期会延长，让交易者重新考虑他们的订单。本文通过在 NASDAQ Nordic 引入收盘竞价波动率扩展来首次分析此类机制的影响。我们发现波动性扩展减少了短暂的波动性并阻止了收盘时的价格操纵。与对该机制的信任度增加一致，CCA 在更改后吸引了更高的交易量。