Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209546
Authors: 
Theissen, Erik
Westheide, Christian
Year of Publication: 
2019
Series/Report no.: 
CFR Working Paper No. 16-05
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.
Subjects: 
Designated market makers
Call auctions
JEL: 
G10
Document Type: 
Working Paper

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