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Call of duty: Designated market maker participation in call auctions

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  • Theissen, Erik
  • Westheide, Christian

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. They stabilize prices and trade profitably.

Suggested Citation

  • Theissen, Erik & Westheide, Christian, 2019. "Call of duty: Designated market maker participation in call auctions," CFR Working Papers 16-05, University of Cologne, Centre for Financial Research (CFR), revised 2019.
    • Handle: RePEc:zbw:cfrwps:1605
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    Cited by:

    1. Ekaterina Serikova, 2019. "The Role of Daytime Stock Auctions in Intraday Return Seasonality," Working Papers on Finance 1914, University of St. Gallen, School of Finance.
    2. Twu, Mia & Wang, Jianxin, 2018. "Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange," Journal of Asian Economics, Elsevier, vol. 57(C), pages 53-62.

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    Keywords

    Designated market makers; Call auctions;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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