market architecture of selected stock exchanges in ... - Gilles Daniel

More documents

Recommendations

Info

4definition, Dubai can be considered as an oil-exporting country. Moreover, theselected countries represent four continents as well as the prevailing religionsChristian, Islam, Hindu, and Buddhism.This study forms a part of an international project comparing stock exchanges ofdifferent segments with regard to the issues outlined above. At the moment there areanother two analyses in progress: Market Architecture of the largest Stock Exchanges (Philipp Schauer, InnsbruckUniversity School of Management) Market Architecture of the largest Futures and Options Markets (Albin Sikman,Innsbruck University School of Management)Figure 3: Market Capitalization as a Percentage of GNP vs. GNP Per CapitaSource: Levich (2001)Figure 3 charts GNP per capita against market capitalization as a percentage of GNPto show the general characteristics of developed, emerging, and frontier equitymarkets.
51.2 Course of ExplorationThis thesis is composed of four chapters in addition to the introduction. In Chapter 2,preliminary considerations present the selected stock exchanges that are subject tofurther analysis. Therefore, Chapter 2.1 is to describe some key attributes andfunctions of sock exchanges in general. Chapter 2.2 presents the history anddevelopment of the emerging stock markets in conjunction with an overview of theirmarket statistics. Chapter 2.3 summarizes the organizational structures and Chapter2.4 depicts the market statistics of 2005 to get an idea of the proportion of marketsize. A concluding focus in Chapter 2 examines the currencies used in the emergingmarkets and their exchange rates quoted in Euros (Chapter 2.5). Chapter 3 presentsthe key issues in market architecture. This chapter provides the theoretical basis forthis research study. Features as how to characterize stock exchanges are elaborateddefining their market participants (Chapter 3.1) and describing their opening hoursand trading days (Chapter 3.2). With the focus on the market design, the types ofmarket structure and mechanisms of price discovery will be presented in Chapters3.3 and 3.4. The difference between electronic and floor trading is explained inchapter 3.5 followed by a description of orders and order books (Chapter 3.6). Thischapter ends with an illustration of how trading is organized in case of extraordinarycircumstances (Chapter 3.7). Chapter 4 analyzes the selected stock exchanges basedon the theory worked out in the previous chapters. Here, the rules and marketmechanisms of the seven selected stock exchanges are broken down into depth.Chapter 5 concludes with a summary of the key findings.
Page 1 and 2: MARKET ARCHITECTURE OF SELECTED STO
Page 3 and 4: ITABLE OF CONTENTSList of Figures .
Page 5 and 6: IIIList of Figures 1Figure 1: Equit
Page 7 and 8: VTable 33: Criteria for Auction Ext
Page 9 and 10: 11 Introduction1.1 Motivation and O
Page 11: 3Figure 2: World Equity Market Capi
Page 15 and 16: 72.2 The selected Stock ExchangesHa
Page 17 and 18: 92.2.2 The National Stock Exchange
Page 19 and 20: 112.2.3 The São Paulo Stock Exchan
Page 21 and 22: 13Table 3: São Paulo Stock Exchang
Page 23 and 24: 15Table 4: Shanghai Stock Exchange
Page 25 and 26: 17Table 5: Istanbul Stock Exchange
Page 27 and 28: 19Table 6: Warsaw Stock Exchange St
Page 29 and 30: 212.3 Organizational StructureTable
Page 31 and 32: 232.5 Exchange RatesFor the purpose
Page 33 and 34: 25compensation of this service, the
Page 35: 273.3.2 Brokered MarketsIn a broker
Page 38 and 39: 30price and quantity (Cohen and Sch
Page 40 and 41: 32However, the impact of electronic
Page 42 and 43: 343.6 Orders and Order Books3.6.1 T
Page 44 and 45: 36“Minimum Fill” (or “Minimum
Page 46 and 47: 38Figure 9: Order RoutingExchangeEx
Page 48 and 49: 40Figure 11: Order Book in an Order
Page 50 and 51: 42all exchanges. Generally, more th
Page 52 and 53: 44and decide if a parallel trading
Page 54 and 55: 46groups of similar liquidity (see
Page 56 and 57: 48Order TypesGenerally, there are t
Page 58 and 59: 50The Trading DayTable 18: Opening
Page 60 and 61: 52Matching and uncrossingAs already
Page 62 and 63:
54Figure 14: Volatility Bands at th
Page 65 and 66:
57Table 24: Market Types and Order
Page 67 and 68:
59The three stages of price variati
Page 69 and 70:
61according to price/time priority
Page 71 and 72:
63The Trading DayTable 29: Opening
Page 73 and 74:
65Additionally, there are special a
Page 75 and 76:
67Table 34: Discretionary Trading H
Page 77 and 78:
69Order Entry ParametersThe rules o
Page 79 and 80:
71Trading unitsPrices of B-shares o
Page 81 and 82:
73Market ParticipantsISE members au
Page 83 and 84:
Page 85 and 86:
774.6 The Warsaw Stock ExchangeIn t
Page 87 and 88:
79Must-be-filled orders can be plac
Page 89 and 90:
81Figure 19: Trading Phases of the
Page 91 and 92:
83executable at a determined price
Page 93 and 94:
854.7 The Dubai International Finan
Page 96 and 97:
Page 98 and 99:
905 ConclusionThe ever-increasing n
Page 100 and 101:
92Table 56: Synoptical Table of Mar
Page 102 and 103:
94Trades effected through the Elect
Page 104 and 105:
967 ReferencesLiteratureBARUCCI, E.
Page 106 and 107:
98GIRIDHAR, G., 2004. Market Micros
Page 108 and 109:
100PECHLANER, V. M., 2001. An Analy
Page 110:
102EIDESSTATTLICHE ERKLÄRUNGIch er
show all

market architecture of selected stock exchanges in ... - Gilles Daniel

Create successful ePaper yourself

Delete template?

Save as template?