Call Market Trading in Germany: A Pre-Xetra Analysis

  • Olaf Oesterhelweg
  • Hartmut Schmidt
  • Kai Treske
Part of the The New York University Salomon Center Series on Financial Markets and Institutions book series (SALO, volume 7)


For more than one hundred years, German exchanges have relied on call auctions. However, due to a lack of volume data, very little was known on investor acceptance of batch auctions. Based on a unique set of data, this paper is the first to provide percentage shares of batch auctions in daily volume. For a sample of active stocks, which are subject to both continuous and batch auction trading, it is shown that these percentage shares decline in volume and increase in spread size. Batch auction trades take place at prices away from the midpoint of the IBIS inside spread. Compared with the floors, opening auctions on the Deutsche Terminbörse meet considerably less investor interest.


Market Structure Active Stock Continuous Trading Call Auction German Stock Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Booth, G. Geoffrey, Iversen, Peter, Sarkar, Salil K., Schmidt, Hartmut, and Young, Allan, “Market Structure and Bid-Ask Spreads: IBIS vs. Nasdaqs.” European Journal of Finance 5 (1999), 51–71.CrossRefGoogle Scholar
  2. Bühler, Alfred, Grünbichler, Andreas, and Schmidt, Hartmut, “Parkett und Computer im Preisfindungsprozeß.” Zeitschrift für Bankrecht und Bankwirtschaft 7 (1995), 123–137.Google Scholar
  3. Haller, Andreas, and Stoll, Hans R., “Market structure and transaction costs: Implied spreads in the German stock market.” Journal of Banking and Finance 13 (1989), 697–708.CrossRefGoogle Scholar
  4. Harris, Lawrence, “Liquidity, Trading Rules, and Electronic Trading Systems.” Monograph Series in Finance and Economics, ed. New York University Salomon Center, Monograph 1990-4, New York, 1990.Google Scholar
  5. Harris, Lawrence, “Consolidation, Fragmentation, Segmentation and Regulation.” Financial Markets, Institutions & Instruments 2 (1993), 1–28.Google Scholar
  6. Iversen, Peter, Geld-Brief-Spannen deutscher Standardwerte, Wiesbaden, Deutscher Universitätsverlag, 1994.Google Scholar
  7. Lansburgh, Alfred, Zur Systematik der Preisbildung an der Effektenbörse, Stuttgart, Verlag von Ferdinand Enke, 1917.Google Scholar
  8. Lee, Charles M.C., “Market Integration and Price Execution for NYSE-Listed Securities.” The Journal of Finance 48 (1993), 1009–1038.CrossRefGoogle Scholar
  9. Löb, Ernst, “Kursfeststellung und Maklerwesen an der Berliner Effektenbörse.” Jahrbücher für Nationalökonomie und Statistik 66 (1896), 237–273.Google Scholar
  10. Nußbaum, Arthur, Die Börsengeschäfte, Leipzig, O.R. Reisland, 1918.Google Scholar
  11. Schmidt, Fritz, Die Effektenbörse und ihre Geschäfte, Leipzig, Gloeckner, 1921.Google Scholar
  12. Schmidt, Hartmut, Börsenorganisation zum Schutze der Anleger, Tübingen, J.C.B. Mohr (Paul Siebeck), 1970.Google Scholar
  13. Schmidt, Hartmut, Advantages and disadvantages of an integrated market compared with a fragmented market. Luxembourg, Office for Official Publications of the European Communities, 1977.Google Scholar
  14. Schmidt, Hartmut, and Iversen, Peter, “Automating German equity trading: Bid-ask spreads on competing system.” Journal of Financial Services Research 6 (1992), 373–397.CrossRefGoogle Scholar
  15. Schmidt, Hartmut, Iversen, Peter, and Treske, Kai, “Parkett oder Computer?” Zeitschrift für Bankrecht und Bankwirtschaft 5 (1993), 209–221.Google Scholar
  16. Schwartz, Robert A., Reshaping the Equity Markets, Harper Business, 1991.Google Scholar

Copyright information

© Springer Science+Business Media New York. Boston 2001

Authors and Affiliations

  • Olaf Oesterhelweg
    • 1
  • Hartmut Schmidt
    • 2
  • Kai Treske
    • 1
  1. 1.Hamburger SparkasseGermany
  2. 2.Hamburg UniversityGermany

Personalised recommendations