Universität zu Köln

Theissen, Erik ORCID: 0000-0003-4460-8168 and Westheide, Christian (2020). Call of duty: Designated market maker participation in call auctions. J. Financ. Mark., 49. AMSTERDAM: ELSEVIER. ISSN 1878-576X

Full text not available from this repository.

Abstract

Many equity markets combine continuous trading and call auctions. Oftentimes designated market makers (DMMs) supply additional liquidity. Whereas prior research has focused on their role in continuous trading, we provide a detailed analysis of their activity in call auctions. Using data from Germany's Xetra system, we find that DMMs are most active when they can provide the greatest benefits to the market, i.e., in relatively illiquid stocks and at times of elevated volatility. Their trades stabilize prices and they trade profitably. (C) 2020 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Theissen, Erik UNSPECIFIED orcid.org/0000-0003-4460-8168 UNSPECIFIED Westheide, Christian UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-324478
DOI:	10.1016/j.finmar.2019.100530
Journal or Publication Title:	J. Financ. Mark.
Volume:	49
Date:	2020
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1878-576X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language QUALITY; EFFICIENCY; LIQUIDITY; IMPACT Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/32447