The AMF analyses the rise in closing auction trading activity on the French equity market
Over the past several years, European equity markets have undergone a structural transformation in their trading patterns, characterised in particular by an increasing concentration of trading activity at the close. This trend has been especially pronounced on the French market, where the closing auction now accounts for more than half of turnover executed on the regulated market.
As part of its market surveillance mission, the Autorité des Marchés Financiers (AMF) analysed the evolution of closing trading activity for French equities over the period from 2018 to 2025. The study assesses its implications for market quality, execution venue fragmentation and the behaviour of different categories of market participants.
A significant increase in closing trading activity without a deterioration in market quality
For CAC 40 equities, the share of turnover executed during the closing auction increased from 36% to 53%. This growth reflects both an increase in turnover executed at the close and a decline in turnover traded during the continuous trading session, and has been driven primarily by the largest companies included in the SBF 120 index.
Despite this growing concentration of trading activity, the study finds no evidence of a structural deterioration in liquidity, volatility or the price formation process, except during periods of exceptional geopolitical or public health-related market stress.
Growing execution venue fragmentation now extends to the closing phase
The study shows that execution venue fragmentation, already well established during the continuous trading session, is gradually extending to the closing phase. While the regulated market's closing auction continues to concentrate the vast majority of turnover executed at the close, other execution venues have developed mechanisms allowing orders to be executed at the Euronext closing price outside the primary market, without participating directly in the determination of the closing price. This evolution reflects increasing fragmentation of execution, while price formation remains firmly anchored to the primary market.
Across all execution venues, the continuous trading session remains the preferred trading phase
The consolidated analysis of transaction data provides additional insight and puts into perspective the magnitude of the phenomenon observed on the regulated market. Across all execution venues, turnover executed during the closing phase accounts for approximately one third of total turnover in CAC 40 equities. The majority of trading activity therefore continues to take place during the continuous trading session, albeit across an increasing number of execution venues.
Different Market Participants Dominate Different Trading Phases
Finally, the study highlights clear differences in the profile of market participants across trading phases. High-frequency traders remain the predominant participants during the continuous trading session, whereas banks account for the majority of turnover executed during the closing phase. Nevertheless, high-frequency traders have gradually increased their presence at the close, reflecting the adaptation of their trading strategies to the evolving market structure.
