Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238204 
Year of Publication: 
2021
Series/Report no.: 
SAFE Working Paper No. 319
Publisher: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
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.
Subjects: 
Designated market makers
Call auctions
JEL: 
G10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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