It turns out they don't; they really want to meet their benchmarks, and trade where the liquidity is. One data point - 40% of the French stock exchange's turno

It turns out they don't; they really want to meet their benchmarks, and trade where the liquidity is. One data point - 40% of the French stock exchange's turnover is now in the closing auction. Other markets have a similar trend. Longer trading hours mean thinner liquidity throughout the day, and the direction of travel in Europe is strongly towards shorter trading hours.