MOC orders are collected by the exchange and matched in the closing auction at a single price. Index funds and ETFs rebalance this way, so the close is often the highest-volume minute of the day.
Exchanges publish closing imbalances (net buy or sell pressure) in the final minutes. Some traders trade the imbalance; most just need to know the close can move sharply.
Example: a stock joins an index and funds must buy 5 million shares at the close. The published imbalance shows 5 million to buy; the closing print is 2% above the 3:50 price.
Related: market-order, index, etf, volume