The Day-End Effect on the Paris Bourse

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 does not decline as stock price increases, likely 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