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September 7, 2016

HK Closing Auction – A Calm Month Before Index Reviews

Alaric Securities
HK Closing Auction

75-25 Auction Split in Hong Kong

After 1 month of Closing Auction Session (CAS) the last-minute and auction volumes in most names has remained stable. On average, 4.9% of daily volume in CAS securities (excluding ETFs) matches in the close auction and 1.6% in the last minute – creating a 75%-25% split as shown in the graph above.

However, these averages mask the fact that participation in CAS varies widely from stock to stock. There is a large group of securities which see negligible activity in the CAS.

Source: Credit Suisse Trading Strategy