Call of Duty: Designated Market Maker Participation in Call Auctions
نویسندگان
چکیده
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 trading, we provide a detailed analysis of activity Using data from Germany’s Xetra system, find that DMMs are most active when they can the greatest benefits to market, i.e., relatively illiquid stocks at times elevated volatility. Their trades stabilize prices trade profitably.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3908001