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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)

Abstract

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.

Keywords

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.

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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

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