Order flow and price formation in closing call auctions: Evidence from the Brazilian stock market
Published:
Jun 26, 2026
Volume:
24
Keywords:
Closing call auction
Order flow
Market microstructure
Limit orders
Market orders
Intraday data
Abstract
This study examines how order flow affects price formation during the closing call auction in the Brazilian stock market. Using intraday data for 379 B3-listed stocks over 2021–2025, we analyze the role of limit-order pressure and market-order aggressiveness across pre-auction time horizons. We find that limit-order imbalances affect closing auction returns primarily at longer horizons, consistent with their role as proxies for latent liquidity conditions. In contrast, market-order aggressiveness has a direct, positive effect on closing returns, although its magnitude declines as the auction progresses. The results also reveal substantial cross-sectional heterogeneity, with stronger effects for smaller and less liquid stocks. Overall, the findings highlight the asymmetric roles of limit and market orders in auction environments and provide new evidence on price formation in an emerging market setting.
How to cite
Marcel Cabral, Raul Matsushita. Order flow and price formation in closing call auctions: Evidence from the Brazilian stock market. Brazilian Review of Finance, v. 24, n. 1, 2026. p. e202610. DOI: 10.12660/rbfin.v24n1.2026.97897.
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