Where Does the Day's Volume Go?
Closing auction share of total daily equity volume by region (2024)
Passive investing drives this. Index funds must trade at the closing price to minimize tracking error — so all passive rebalancing concentrates into the final auction window, draining liquidity from the rest of the trading day.
Source: Global exchange data compiled across Developed Europe, Japan, APAC ex-Japan, and United States equity markets. Values represent closing auction as % of total daily volume.