  We study the tails of closing auction return distributions for a sample of
liquid European stocks. We use the stochastic call auction model of Derksen et
al. (2020a), to derive a relation between tail exponents of limit order
placement distributions and tail exponents of the resulting closing auction
return distribution and we verify this relation empirically.
Counter-intuitively, large closing price fluctuations are typically not caused
by large market orders, instead tails become heavier when market orders are
removed. The model explains this by the observation that limit orders are
submitted so as to counter existing market order imbalance.
