Banca de QUALIFICAÇÃO: Marcel dos Santos Cabral

Closing call auction: An analysis of negotiations around this instrument on B3 in the period from 2021 to 2023

closing call auction, stock market, liquidity, market efficiency, orders.

This study analyzes the behavior of negotiations at the close of markets around auction instruments called call auctions, considering the Brazilian market. Implemented in several markets replacing or concurrently with continuous trading, this mechanism has the main characteristic of grouping orders at a given instant of time for execution at a single price. The effects that this microstructure causes in the markets include issues that go beyond the design objectives of the markets related to price discovery and transaction costs, such as those associated with volatility and liquidity, as well as other phenomena involving price and orders. bWith the investigation of hypotheses related to liquidity concentration, informational efficiency and the pressure and aggressiveness of orders, the results indicate that the closing auction tends to concentrate around 8% of the daily volume traded, as well as shares of companies of greater size and lower liquidity tend to present more noise in the informational efficiency process, in addition to the pressure and aggressiveness of the orders seem to exert more influence on the auction returns the closer the moment of the beginning of the auctions.