Would appreciate if someone could explain what really happens that caused market on close imbalances.Has there been any study on price action post a big market on close imbalance.Regards

I think what happens is program trade orders (baskets of stocks sent electronically) have to be sent to the NYSE before 15:30 NY time if they are market-on-close orders. These orders are not supposed to be cancelled once sent. All these rules help the specialist provide an "orderly market," but in my opinion it seems more like rules that help the specialists make money. The specialists are required to publish imbalance orders. This explains why often you will see the SPX move steadily in one trending direction from 15:30 until the close at 16:00.Who places these orders? Probably fund managers who have a long-enough investment time horizon that they do not bother trading stocks during the day. Instead, they get lower execution fees by having all of their orders sent electronically as a basket order by their broker.