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

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202.2.7 The Dubai International Financial ExchangeTrading on the Dubai International Financial Exchange (DIFX)started in September 2005 and currently has 10 member banks. 15The DIFX provides trading in equities, bonds, funds, Islamicproducts, index products and derivatives. The new exchange islocated in the Dubai International Financial Centre (DIFC), a financial free zone thatopened for business in 2004.The Dubai Financial Services Authority (DFSA) as an independent unitaryregulatory authority governs the financial activities in the DIFC. The DFSA is beingcreated using principle based legislation models such as the ones used in London andNew York to meet or even exceed the international standards. The President of theDIFC is His Highness Sheikh Mohammed Bin Rashid Al Maktoum, the UAE VicePresident, Prime Minister and Ruler of Dubai. 16The DIFX was incorporated as a limited liability company under the CompaniesLaw, DIFC Law No. 2, on 29 September, 2004 and is a wholly owned subsidiary ofthe DIFC Authority. 1715 Due to its recent development, no significant market statistics are available.16 http://www.difx.ae/about/, 10/03/200617 http://www.difx.ae/about/the_organisation/index.html
212.3 Organizational StructureTable 7 shows a summary of the organizational structures of the selected stockexchanges.Table 7: Synoptical Table: Organizational StructuresName Form of Enterprise OwnershipJohannesburg Stock Exchange Public, unlisted company c.n.a.National Stock Exchange of IndiaSão Paulo Stock ExchangeFor-profit, tax-paying companyNon-profit, self-regulating organizationShanghai Stock Exchange Non-profit institution c.n.a.Istanbul Stock ExchangeSelf-regulating, autonomousorganization21 shareholders: financial institutions,banks, insurance companies and otherfinancial intermediariesMember brokerage firms, listedcompanies, institutionaland individual investorsc.n.a.Warsaw Stock Exchange Non-profit joint-stock company 38 shareholdersDubai International FinancialExchangeLimited liability companywholly owned subsidiary of the DIFCAuthority2.4 Market StatisticsIn order to get an idea about the size of the selected stock exchanges Table 8summarizes market statistics of the year 2005. Table 9 exemplifies the proportion ofthe selected stock exchanges, whereas Table 10 highlights the differences in sizewhen compared to the largest stock exchanges.Table 8: Market Statistics of the selected Stock Exchanges 20052005 in EUR JSE NSE BOVESPA SSE ISE WSE DIFXDomestic MarketCapitalization(in millions)441.316 414.532 381.331 229.925 130.805 76.664 c.n.a.No. of Listed Companies 388 1.034 343 1.069 304 255 c.n.a.Total Value of Share Trading(Turnover, in millions)Average Daily Turnover(in millions)Total Number of Trades(in thousands)Total Number of SharesTraded (in millions)Average Value of Trades(Transactions) (in thousands)161.762 252.654 133.756 191.859 162.097 47.501 c.n.a.644 1.007 533 793 638 189 c.n.a.5.064 564.799 15.495 210.140 43.943 4.984 c.n.a.54.510 c.n.a. c.n.a. c.n.a. c.n.a. c.n.a. c.n.a.31,9 0,4 8,6 0,9 3,7 9,5 c.n.a.
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 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: 19Table 6: Warsaw Stock Exchange St
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:
75The Trading DayTable 39: Opening
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:
88The Trading DayTable 52: Opening
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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.
Page 106 and 107:
98GIRIDHAR, G., 2004. Market Micros
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100PECHLANER, V. M., 2001. An Analy
Page 110:
102EIDESSTATTLICHE ERKLÄRUNGIch er
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