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Abstract

The objective of this chapter is to describe and classify the underlying research object for the empirical analysis. Therefore, it provides an introduction to the German equity market in general and to the Frankfurt Stock Exchange (FSE) with its primary trading platform Xetra. It also includes a detailed description of the market model for equities. As the choice of market structure has important implications for the microstructure results, a classification of trading mechanisms is provided and the Xetra trading models are categorized accordingly.

Keywords

Limit Order Market Maker Order Book Trading Model Tick Size 
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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References

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    Market capitalization as a percentage of GDP increased from 23.9% in 1995 to 43.7% in 2005 while share ownership almost doubled between 1997 and 2005, reaching a level of 16.6%. See Deutsches Aktieninstitut (2005), p. 05–3 and p. 08–3. It has to be noted that compared to the US capital market-a completely market oriented system-the German capital market has a large potential for development. Theissen (2003a) describes the development level of the German capital market based upon the dimensions volume and operational efficiency.Google Scholar
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    Brockman/ Chung (2002), p. 522 explain that traders in order-driven markets are free to enter and exit the market whenever they want. In contrast, the market maker in a quote-driven market is obliged to provide bid-ask quotes during trading, thus he does not have a free-entry and free-exit possibility.Google Scholar
  28. 58.
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© Deutscher Universitäts-Verlag | GWV Fachverlage GmbH, Wiesbaden 2007

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