The Hong Kong Stock Exchange briefly adopted call auctions as its closing mechanism. We find evidence of abnormally large orders and price changes during the last five seconds of the auction sessions. Such sniping attacks were associated with the expiration of derivative products, which provided...

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by...