Mifid Ii and European Closing Auctions

European closing auction volumes increased heavily over the past years, in particular sincethe introduction of MiFID II in 2018. We show that this increase in closing auction volumesince 2018 is driven by an increase in limit order volume and that it contributes to moreefficient price formation. This is at odds with the popular hypothesis that passive investingis the main driver of increased closing auction volumes. Instead, our results suggest thatMiFID II regulations have attracted informed volume to the closing auction