Click First or Last? Strategic Order Submission During theEuronext Preopening Session

Résumé

We examine traders’ order submission strategies during the Euronext preopen,which uses price-time priorities to arrange opening trades via a call auction. Preopeningorder submissions follow a J-shape pattern. Sophisticated proprietary traders arrive late,consistent with information leakage concerns. Slow clients arrive early and place aggres-sive orders to advertise their trading needs and strategically gain time priority. Their earlyorder submissions often occur in stocks with an increase in the tick size and on days withexpected liquidity shocks. They also contribute to daily price discovery. Using a preopen-ing outage as a natural experiment, we show that the Euronext preopen improves pricediscovery on a rival venue. These benefits hold even in the absence of an opening auctiontaking place.