Call of duty: Designated market maker participation in call auctions

Erik Theissen and Christian Westheide

No 319, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

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.

Keywords: Designated market makers; Call auctions (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-des, nep-isf and nep-mst
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https://www.econstor.eu/bitstream/10419/238204/1/1767647247.pdf (application/pdf)

Related works:
Journal Article: Call of duty: Designated market maker participation in call auctions (2020)
Working Paper: Call of duty: Designated market maker participation in call auctions (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:319

DOI: 10.2139/ssrn.3908001

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