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Informationsbasierter Aktienhandel über IBIS
Grammig, Joachim; Schiereck, Dirk; Theissen, Erik - 1999
Kursänderungen auf Aktienmärkten können informationsinduziert durch neu zu verarbeitende Informationen oder liquiditätsinduziert durch kurzfristige Angebots- bzw. Nachfrageüberhänge auftreten. Diese zwei so unterschiedlich verursachten Kursreaktionen sind in empirischen Untersuchungen nur...
Persistent link: https://www.econbiz.de/10005840371
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Der Neue Markt: Eine Bestandsaufnahme
Theissen, Erik - 1998
Der Neue Markt soll wachstumsorientierten Unternehmen den Zugang zur Börse eröffnen. Diefür dieses Marktsegment neu geschaffene Institution des Betreuers soll Vorbildcharakter fürandere Marktsegmente haben. In der vorliegenden Arbeit werden Vor- und Nachteile desBetreuer-Konzeptes...
Persistent link: https://www.econbiz.de/10005840397
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Floor versus Screen Trading: Evidence from the German Stock Market
Theissen, Erik - In: Journal of Institutional and Theoretical Economics (JITE) 158 (2002) 1, pp. 32-32
We analyze the transaction costs in floor and computerized trading systems. In Germany, floor and screen trading for the same stocks exist in parallel. Bid-ask spreads are not generally lower in one trading system, but the electronic trading system is less attractive for less liquid stocks. This...
Persistent link: https://www.econbiz.de/10005823334
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Liquidity dynamics in an electronic open limit order book: An event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10009321684
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Is Best Really BETTER? Internalization of Orders in an Open Limit Order Book
Grammig, Joachim; Theissen, Erik - In: Schmalenbach Business Review (sbr) 64 (2012) 2, pp. 82-100
We study the market quality of the Xetra BEST system operated by Deutsche Börse AG, an internalization system designed as part of an open limit order book, which guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this dual market...
Persistent link: https://www.econbiz.de/10010548179
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Competition/fragmentation in equities markets: A literature survey
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - Research Center SAFE (Sustainable Architecture for … - 2013
Advances in technology and several regulatory initiatives have led to the emergence of a competitive but fragmented equity trading landscape in the US and Europe. While these changes have brought about several benefits like reduced transaction costs, regulators and market participants have also...
Persistent link: https://www.econbiz.de/10010955129
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Time and price impact of a trade: A structural approach
Grammig, Joachim; Theissen, Erik; Wuensche, Oliver - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007
respect to the evolution of the fundamental asset value. Their analysis supports the notion that no trade means no information … of private information. Instead, they are caused by strategic trading of impatient non-informed agents who use market …
Persistent link: https://www.econbiz.de/10010957184
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Illiquidity transmission from spot to futures markets
Korn, Olaf; Krischak, Paolo; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014
We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with price risk,...
Persistent link: https://www.econbiz.de/10010957208
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005
is based on a model of limit order trading in which traders have information on future price volatility. As limit orders … have option-like features, this information is valuable for limit order traders. We analyze limit order traders' bidding … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in …
Persistent link: https://www.econbiz.de/10010957222
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Competition between exchanges: Euronext versus Xetra
Kasch-Haroutounian, Maria; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2006
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10010984851