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- W4285405175 abstract "• After the rule change in the Tokyo Stock Exchange, the passive-owned stocks' volume concentrated more in the closing auction. • The rule change of the closing auction improved liquidity in continuous auctions due to the dynamics of liquidity traders. • The overnight price efficiency of passive-owned stocks deteriorated after the rule change of the closing auction. This paper uses the revision of the Tokyo Stock Exchange's circuit breakers in 2019 as a natural experiment to provide empirical evidence that passive investors’ executions are concentrated and affect intraday liquidity. After the revision, which attracts the passive traders to execute at the close, the stock more owned by passive funds: (i) has more concentrated execution at closing auctions; (ii) reduces its transaction costs more in continuous sessions; and (iii) has less price-efficient overnight return. These findings are consistent with the implication of the dynamic limit order market model in the previous research that indicated the passive investor has higher costs to wait for the execution. Our results imply the importance of the passive investors’ intraday behavioral change due to a shift in execution constraints, especially when the passive investments have a high market share." @default.
- W4285405175 created "2022-07-14" @default.
- W4285405175 creator A5025549280 @default.
- W4285405175 date "2022-09-01" @default.
- W4285405175 modified "2023-09-27" @default.
- W4285405175 title "Passive investors and concentration of intraday liquidity: Evidence from the Tokyo Stock Exchange" @default.
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- W4285405175 doi "https://doi.org/10.1016/j.pacfin.2022.101812" @default.
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