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

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8Table 1: Johannesburg Stock Exchange StatisticsForm of EnterpriseJSEPublic, unlisted companyMarket Statistics 4 EUR USDDomestic Market 2002 123.276,5 116.544,40Capitalization 2003 230.431,3 260.749,10(millions) 2004 355.765,1 442.525,502005 441.315,9 549.310,31Total Value of Share Trading 2002 81.607,0 77.150,44(Turnover) 2003 88.206,0 99.811,26(millions) 2004 128.719,0 160.109,702005 161.762,0 201.346,78No. of Listed Companies 2002 4722003 4262004 4042005 388Number of Trading Days 2002 2502003 2502004 2512005 251Average Daily Turnover 2002 331,7 313,60(millions) 2003 357,5 404,502004 515,9 641,702005 644,5 802,18Average Value of Trades 2002 21,9 20,7(Transactions) 2003 27,1 30,7(thousands) 2004 32,9 40,92005 31,9 39,8Total Number of Trades 2002 3.729,87(thousands) 2003 3.253,862004 3.911,452005 5.064,04Total Number of Shares 2002 55.790,00Traded 2003 43.052,50(millions) 2004 45.438,402005 54.510,00Source: http://www.world-exchanges.org/WFE, 18/02/2006http://www.jse.co.za, 19/02/20064 See Appendix 1 for definition and calculation methods of the WFE
92.2.2 The National Stock Exchange of IndiaThe National Stock Exchange of India limited (NSE)is located in Mumbai, the financial centre of India.The NSE was incorporated in November 1992 as atax-paying company and was given recognition as a stock exchange in April 1993. Itstarted operations in June 1994 and launched subsequently the Capital MarketSegment in November 1994 as a trading platform for equities, and the Futures andOptions Segment in June 2000 for various derivative instruments.The creation of a second stock exchange, besides the Bombay Stock Exchange, wasdue to inefficiencies in the Indian financial market. Need was felt for betterregulation, discipline, and accountability.Although it was established as a public limited company, the NSE adopted the formof a de-mutualized exchange, hence is a for-profit, tax-paying company, owned by aset of leading financial institutions, banks, insurance companies and other financialintermediaries. 5 As of March 31, 2005 the number of shareholders is 21, all of themcoming from the financial sector (NSE 2005).5 http://www.nseindia.com/, 22/02/2006
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 and 12: 3Figure 2: World Equity Market Capi
Page 13 and 14: 51.2 Course of ExplorationThis thes
Page 15: 72.2 The selected Stock ExchangesHa
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
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63The Trading DayTable 29: Opening
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65Additionally, there are special a
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67Table 34: Discretionary Trading H
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69Order Entry ParametersThe rules o
Page 79 and 80:
71Trading unitsPrices of B-shares o
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73Market ParticipantsISE members au
Page 83 and 84:
Page 85 and 86:
774.6 The Warsaw Stock ExchangeIn t
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79Must-be-filled orders can be plac
Page 89 and 90:
81Figure 19: Trading Phases of the
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83executable at a determined price
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854.7 The Dubai International Finan
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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
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967 ReferencesLiteratureBARUCCI, E.
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98GIRIDHAR, G., 2004. Market Micros
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100PECHLANER, V. M., 2001. An Analy
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102EIDESSTATTLICHE ERKLÄRUNGIch er
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