ESSAYS ON THE MICROSTRUCTURE OF THE GERMAN MARKET FOR STOCK OPTIONS

The aim of this project is to empirically examine the trading process of the German market for stock options. This research task is approached from a market microstructure point of view utilizing intraday data. The study comprises three separate essays, of which one examines the German options exchange Deutsche Terminbörse (the DTB, which today goes under the name Eurex Germany) in isolation and the other two the interrelationship between the DTB and the electronic trading platforms of the stock exchange Frankfurter Wertpapierbörse (FWB). The study positions itself in the area of empirical market microstructure research by focusing on stock options traded in a decentralized limit order book market. Most previous research on stock options has been carried out on data from open outcry markets, such as the Chicago Board of Options Exchange (CBOE) or the American Stock Exchange (AMEX). Although several studies with data from European limit order book based options exchanges have been published, their focus has almost exclusively been on index derivatives rather than on options written on individual stocks.