Journal of Financial Intermediation Vol. 10 No. 3-4 2001
The Anatomy of a Call Market
Abstract
This paper provides a detailed analysis of the call auction procedure on the Frankfurt Stock Exchange. We develop a direct measure of execution costs in a call auction that is comparable to the bid–ask spread in a continuous market. We find that transaction costs for small transactions in the call market are lower than the quoted spread in the continuous market, whereas transaction costs for large transactions in the call market are higher than the spread in the continuous market. An analysis of specialist (Makler) participation shows that Maklers provide a valuable service to the market. On average, their compensation is restricted to commission income rather than trading profits. Journal of Economic Literature Classification Number: G10.
- DOI
- 10.1006/jfin.2001.0314
- Volume
- 10
- Issue
- 3-4
- Pages
- 249-270
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref