Opening and closing price efficiency: Do financial markets need the call auction?

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated opening auction. For the largest volume stocks, the opening auction provides highly efficient opening prices, while the lower volume stocks attain similar levels of price efficiency only after the start of normal trading hours (NTH). At the close however, all stocks only lose small fractions of informational efficiency achieved during the NTH. (C) 2014 Elsevier B.V. All rights reserved.