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

•73.62 million (worth $8.96 trillion) London Stock Exchange (LSE) trades/auctions are analysed.•LSE's high failure rate to open at the opening call auction affects most stocks (lower volume).•Traders avoid trading during the opening auction in order to avoid informed traders who dominate.•Opening call auction provides highly efficient opening prices for only the largest volume stocks.•Most stocks attain significant price efficiency only after the start of continuous trading. 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.