The manipulation of closing prices

Pierre Hillion, Matti Suominen*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

63 Citations (Scopus)


Before the introduction of a call auction at the close, the last minute of trading at the Paris Bourse was the most active of the whole day. Even though the bid-ask spread increased substantially, the probability of large and aggressive orders increased, as did price volatility. In addition, both the one-minute returns and the proportion of partially hidden orders increased. In this paper, we develop an agency-based model of closing price manipulation, which can account for these phenomena. In addition, we discuss the optimal closing price mechanism under manipulation.

Original languageEnglish
Pages (from-to)351-375
Number of pages25
JournalJournal of Financial Markets
Issue number4
Publication statusPublished - Oct 2004
MoE publication typeA1 Journal article-refereed


  • Call auction
  • Closing price
  • Manipulation

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