Deutsche Börsen im Leistungsvergleich -— IBIS und BOSS-CUBE

Performance Comparison of the German Stock Exchanges - IBIS and BOSS-CUBE This contribution compares the performance of the IBIS and BOSS-CUBE trading systems based on a unique set of data covering the transactions on Germany’s eight trading floors in the 40 IBIS traded stocks. The performance of the systems and the stock exchanges is measured by the midquote proximity of the prices at which investors transacted business. The resulting price-spread relation is the ratio of the effective BOSS spread and the effective IBIS spread. A price-spread relation smaller than one indicates that on BOSS-CUBE the prices are closer to midquote than on IBIS. Microstructure-theory considerations lead to the hypotheses that BOSS-CUBErecorded prices are closer to midquote than IBIS-recorded ones and that this BOSSCUBE advantage is particularly marked with less active stocks. Moreover, because the eight floors compete for order flow, it is expected that the smaller exchanges have lower price-spread relations than the Frankfurt stock exchange in some stocks. The results of the empirical analysis are consistent with these hypotheses