Abstract:
We study the day-end effect on the Paris Bourse, a computerized order-driven
market with competing dealers. The day-end return is approximately double the
magnitude found in U.S. data and is nearly four times larger for stocks trading
with a registered dealer. However, this is largely explained by the time between
trades and the bid-ask spread, Unlike the U.S. data. the effect docs not decline as
stock price increases, probably because of a variable tick size in the Paris market.
Finally, a change to a closing call auction in May 1996 for a subset of stocks did
not reduce the day-end effect.
