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FESE Announces Winner Of The Josseph De La Vega Prize 2014

Date 19/06/2014

The Federation of European Securities Exchanges (FESE) is delighted to announce that this year’s winner of the De la Vega Prize 2014 is Kai Zimmermann from Goethe University Frankfurt for his paper “Price Discovery in European Volatility Interruptions”.

The paper looks at a special form of securities market circuit breaker, i.e., European volatility interruptions. Instead of halt trading like traditional circuit breaker, these short-living call auctions allow for continual price discovery after price limit hits. Based upon approximately 1,800 Xetra volatility interruption events from 01/2009 to 01/2012, the paper empirically assesses whether such auctions contribute to price uncertainty resolution and how they influence post-auction continuous trading. The author finds that volatility interruptions dissolve on average 36 percent of the pre-interruption price uncertainty. In addition, the results provide strong indications that this level of price discovery is a major determinant in shaping post-interruption market quality as subsequent continuous trading benefits conditionally on the price discovery contribution of the interruption. By analysing drivers of volatility interruption price discovery, results give indications that in contrast to a prolongation of the call phase, foremost traders' participation does promote the auction's ability to display a price relevant for future trading.

The prize was awarded by FESE President Christian Katz, CEO of SIX Swiss Exchange, and Michel Maquil, Chairman of the De la Vega Steering Committee, on 18th June 2014 at the Gala Dinner of the FESE Convention in Zurich.

De la Vega Advisory Jury 2014

Helena  Beltrán-López,  Research  Fellow,  Financial  and  Statistical  Modeling  Institut  de  Recherches

Economiques et Sociales, UCL, Belgium

Alain Durré, Principal Economist at the ECB and Associate Professor of Finance at IÉSEG - School of

Management, Lille Catholic University

Frank Fehle, Partner, BlueCrest Capital

Harald Hau, Professor of Economics and Finance, Swiss Finance Institute Senior Chair, University of

Geneva and GFRI

Arman Khachaturyan, (PhD) CEO, National Competitiveness Council of Armenia Richard Meier, Research Associate, Swiss Banking Institute of the Zurich University Albert Menkveld, Professor Financial Economics - VU University Amsterdam

Ulf Nielsson, Assistant Professor (PhD) in Finance, Copenhagen Business School, Denmark

Ángel Pardo Tornero, Full Professor, Department of Financial Economics, University of Valencia, Spain Roberto Pascual, Associate Professor of Finance, with tenure, University of the Balearic Islands, Spain Ryan Ryordan, Assistant Professor, University of Ontario  Institute of Technology (Canada), Faculty of Business and Information Technology

Antonio Sáinz de Vicuña, General Counsel of the European Central Bank


Josseph de la Vega Prize

Every year the Federation of European Securities Exchanges (FESE) invites researchers, academics, and practitioners to submit papers to the Josseph de la Vega Prize for an outstanding research paper related to the securities markets in Europe. Papers about current developments in European securities markets which promote public markets are particularly welcome.

Further information and details about this prestigious prize can be found on the De la Vega Prize website or by contacting: Burçak Inel, Deputy Director General,