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

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22Table 9: Domestic Market Capitalization and Total Value of Share Trading of the selectedStock Exchanges 2005450.000400.000In Million Euros350.000300.000250.000200.000150.000100.00050.000Domestic MarketCapitalization (millions)Total Value of ShareTrading (millions)0JSENSEBOVESPASSEISEWSEDIFXTable 10: Market Data Comparison: Emerging Stock Markets and the largest Stock Exchanges12.000.000NYSENASDAQTSELSEDBEuronext10.000.0008.000.000In Million Euros6.000.0004.000.0002.000.000Domestic MarketCapitalization (millions)Total Value of ShareTrading (millions)600.000400.000200.000JSENSEBOVESPASSEISEWSE
232.5 Exchange RatesFor the purpose of this paper, a reasonable approximation and satisfying illustrationof the currency differences is the calculation of the average annual exchange rate.The monthly quotations of the foreign exchange rates, denoted on the Web sitewww.x-rates.com, are collected for the years 2002 to 2005 and then translated intothe average annual exchange rate quoted in Euros.Table 11: Average Exchange Rates2002 1 EUR 0.94539 USDAmerican Dollar 2003 1 EUR 1.13157 USD(annual average) 2004 1 EUR 1.24387 USD2005 1 EUR 1.24471 USD2002 1 EUR 9,9072 ZARSouth African Rand 2003 1 EUR 8,5317 ZAR(annual average) 2004 1 EUR 8,0092 ZAR2005 1 EUR 7,9183 ZAR2002 1 EUR 45,95907 INRIndian Rupees 2003 1 EUR 52,69545 INR(annual average) 2004 1 EUR 56,30598 INR2005 1 EUR 54,75286 INR2002 1 EUR 2,78829 BRLBrazilian Real 2003 1 EUR 3,47551 BRL(annual average) 2004 1 EUR 3,63664 BRL2005 1 EUR 3,03751 BRL2002 1 EUR 7,82859 CNYChina Yuan Renminbi 2003 1 EUR 9,37011 CNY(annual average) 2004 1 EUR 10,29528 CNY2005 1 EUR 10,20279 CNY2002 1 EUR 1.439.680 TRLNew Turkish Lira 18 2003 1 EUR 1.694851 TRL(annual average) 2004 1 EUR 1.777.050 TRL2005 1 EUR 1,6771 TRY2002 1 EUR 3,8574 PLNPolish Zloty 2003 1 EUR 4,3996 PLN(annual average) 2004 1 EUR 4,5268 PLN2005 1 EUR 4,0230 PLN2002 1 EUR 3,47194 DhUnited Arab Emirates Dirham 19 2003 1 EUR 4,15569 Dh(annual average) 2004 1 EUR 4,56811 Dh2005 1 EUR 4,57120 DhSource: http://www.x-rates.com, 03/02/2006http://www.bundesbank.de/statistik/statistik_zeitreihen.php, 19/02/200618 Since January 1, 2005, a currency reform established the New Turkish Lira (Turkish: Yeni TürkLirası, YTL, ISO-4217-Code: TRY) replacing the Turkish Lira (TRL). The currency reform was dueto chronic inflation since the 1970s19 The AED exchange rate has been adjusted to AED 3,6725 for each US Dollar, effective Nov. 1997.See, Central Bank of the United Arab Emirates (2005)
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 and 28: 19Table 6: Warsaw Stock Exchange St
Page 29: 212.3 Organizational StructureTable
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
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
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