IDEAS home Printed from https://ideas.repec.org/p/luc/wpaper/11-9.html
   My bibliography  Save this paper

Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra

Author

Listed:
  • Jos van Bommel
  • Peter Hoffmann

    (LSF)

Abstract

We compare the call auction mechanisms of two major European stock exchanges. The French Euronext auctions disclose five levels of limit orders and have fixed ending times. The German Xetra auctions only disclose the virtual clearing price and volume, and have random ending times. For a sample of 126 matched stocks over a two year period, we find that Euronext auctions are more liquid, contribute more to price discovery, and are followed by lower bid-ask spreads. Both exchanges see significant reversals after their auctions, implying positive expected profits for liquidity suppliers. We also find that small stocks see relatively high turnover at the open while large stocks trade more during the close.

Suggested Citation

  • Jos van Bommel & Peter Hoffmann, 2011. "Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra," DEM Discussion Paper Series 11-9, Department of Economics at the University of Luxembourg.
    • Handle: RePEc:luc:wpaper:11-9
    as

    Download full text from publisher

    File URL: http://wwwen.uni.lu/content/download/53153/634704/file/Transparency%20and%20Ending%20Times%20of%20Call%20Auctions_A%20Comparison%20of%20Euronext%20and%20Xetra_2011(9).pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
    2. Laurence Lescourret, 2012. "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session," Post-Print hal-00772798, HAL.

    More about this item

    Keywords

    The Market Microstructure; Call Auctions;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:luc:wpaper:11-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martine Zenner (email available below). General contact details of provider: https://edirc.repec.org/data/sfsculu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.