Many equity markets employ designated market makers to supply additional liquidity for small and mid caps, and they use a hybrid trading system that combines continuous trading sessions and call auctions. We use data from Germany's Xetra system to analyze designated market maker activity in the...

We analyze price discovery in floor-based and electronic exchanges using data from the German stock market. We find that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. We use...

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...

Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...

On many equity markets, designated market makers (DMMs) supply additional liquidity for small and mid cap stocks. Whereas prior research has focused on their role in continuous trading, we analyze their activity in call auctions. Using data from Germany's Xetra system, we find that DMMs are most...

This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over the inside spread in the Xetra order book. We...

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...

Dufour and Engle (2000) have shown that the duration between subsequent trade events carries informational content with respect to the evolution of the fundamental asset value. Their analysis supports the notion that "no trade means no information" derived from Easley and O'Hara's (1992)...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...