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 here.

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