Abstract
For more than one hundred years, German exchanges have relied on call auctions. However, due to a lack of volume data, very little was known on investor acceptance of batch auctions. Based on a unique set of data, this paper is the first to provide percentage shares of batch auctions in daily volume. For a sample of active stocks, which are subject to both continuous and batch auction trading, it is shown that these percentage shares decline in volume and increase in spread size. Batch auction trades take place at prices away from the midpoint of the IBIS inside spread. Compared with the floors, opening auctions on the Deutsche Terminborse meet considerably less investor interest.
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