Designated Market Makers in Electronic Limit Order Books - A Closer Look
Theissen, Erik
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Voigt, Christian
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Westheide, Christian
URL:
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http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL...
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Weitere URL:
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http://dx.doi.org/10.2139/ssrn.2154699
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Dokumenttyp:
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Arbeitspapier
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Erscheinungsjahr:
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2013
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Titel einer Zeitschrift oder einer Reihe:
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SSRN Working Paper Series
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Ort der Veröffentlichung:
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Berlin [u.a.]
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Auflage:
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Version January 2013
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzierung (Theissen 2009-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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Many exchanges operating an electronic open limit order book employ designated market makers to improve liquidity, particularly for less liquid stocks. Previous research has shown that the existence of a market maker improves liquidity, and that the share price reacts favorably to the announcement that a firm hires a market maker. Little is known, however, about what market makers actually do. We try to fill this gap. Using a data set covering 110 German stocks we analyze the trading activity of market makers in detail. Their participation rates as a function of firm size (or, alternatively, trading volume) display a u-shaped pattern. They are highest for the smallest firms, then decreases in firm size but increases again for the largest size quintile. Market makers not only provide liquidity but also take liquidity.
Other traders take liquidity supplied by market makers particularly in times of high volatility, high bid-ask spreads and high informational asymmetries. Finally, we demonstrate that market makers do, on average, not earn profits.
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| Dieser Eintrag ist Teil der Universitätsbibliographie. |
Suche Autoren in
BASE:
Theissen, Erik
;
Voigt, Christian
;
Westheide, Christian
Google Scholar:
Theissen, Erik
;
Voigt, Christian
;
Westheide, Christian
ORCID:
Theissen, Erik ORCID: https://orcid.org/0000-0003-4460-8168, Voigt, Christian and Westheide, Christian
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