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

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II3.3.2 Brokered Markets......................................................................................................... 273.3.3 Dealer Markets/ Quote-Driven Markets ...................................................................... 273.3.4 Auction Markets/ Order-Driven Markets ..................................................................... 273.3.5 Hybrid Market.............................................................................................................. 283.4 PRICE DISCOVERY ............................................................................................................. 293.4.1 Call Auction ................................................................................................................. 293.4.2 Continuous Auction...................................................................................................... 303.4.3 Mixed Systems .............................................................................................................. 303.5 ELECTRONIC VS. FLOOR TRADING..................................................................................... 313.6 ORDERS AND ORDER BOOKS ............................................................................................. 343.6.1 Types of Orders............................................................................................................ 343.6.2 Order Routing .............................................................................................................. 373.6.3 Order Book................................................................................................................... 383.7 TRADING INTERRUPTIONS AND MARKET CLOSURES ......................................................... 414 RULES AND MARKET MECHANISM ON THE SELECTED STOCK EXCHANGES 454.1 THE JOHANNESBURG STOCK EXCHANGE........................................................................... 454.2 THE NATIONAL STOCK EXCHANGE OF INDIA..................................................................... 564.3 THE SÃO PAULO STOCK EXCHANGE.................................................................................. 604.4 THE SHANGHAI STOCK EXCHANGE ................................................................................... 684.5 THE ISTANBUL STOCK EXCHANGE .................................................................................... 724.6 THE WARSAW STOCK EXCHANGE ..................................................................................... 774.7 THE DUBAI INTERNATIONAL FINANCIAL EXCHANGE ........................................................ 855 CONCLUSION.........................................................................................................................906 APPENDIX ...............................................................................................................................937 REFERENCES .........................................................................................................................96
IIIList of Figures 1Figure 1: Equity Market Capitalization as a Percentage of National GNP.................. 2Figure 2: World Equity Market Capitalization and Emerging Market Share.............. 3Figure 3: Market Capitalization as a Percentage of GNP vs. GNP Per Capita............ 4Figure 4: Latin American Exchanges – Traded Value in 09/05 ................................ 11Figure 5: Participation of the electronic trading (as percentage of total) .................. 12Figure 6: The Istanbul Stock Exchange Markets....................................................... 16Figure 7: Structure of the Polish Capital Market....................................................... 18Figure 8: The Global Shift from Floor Trading to Electronic Trading...................... 33Figure 9: Order Routing............................................................................................. 38Figure 10: Order Book in a Quote-Driven Market .................................................... 39Figure 11: Order Book in an Order-Driven Market................................................... 40Figure 12: JSE Market Segments............................................................................... 47Figure 13: Trading Phases of the JSE........................................................................ 50Figure 14: Volatility Bands at the JSE....................................................................... 54Figure 15: Trading Phases of the NSE....................................................................... 58Figure 16: Trading Phases at the BOVESPA ............................................................ 63Figure 17: Trading Phases at the SSE........................................................................ 70Figure 18: Trading Phases at the ISE......................................................................... 75Figure 19: Trading Phases of the Continuous Trading System at the WSE .............. 81Figure 20: Trading Phases of the Single-price Auction System at the WSE............. 82Figure 21: Trading Phases at the DIFX ..................................................................... 88
Page 1 and 2: MARKET ARCHITECTURE OF SELECTED STO
Page 3: ITABLE OF CONTENTSList of Figures .
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 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
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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:
Page 73 and 74:
65Additionally, there are special a
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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
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