Call of duty:  Designated market maker participation in call auctions

Erik Theissen; Christian Westheide

doi:10.1016/j.finmar.2019.100530

Call of duty: Designated market maker participation in call auctions

Erik Theissen, Christian Westheide

Business School

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

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.

Original language	English
Article number	100530
Pages (from-to)	1-15
Number of pages	15
Journal	Journal of Financial Markets
Volume	49
Early online date	2 Jan 2020
DOIs	https://doi.org/10.1016/j.finmar.2019.100530
Publication status	Published - Jun 2020

Keywords / Materials (for Non-textual outputs)

designated market markers
call auctions

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10.1016/j.finmar.2019.100530

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title = "Call of duty: Designated market maker participation in call auctions",

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.",

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AB - 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.

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DO - 10.1016/j.finmar.2019.100530

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Call of duty: Designated market maker participation in call auctions

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Keywords / Materials (for Non-textual outputs)

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