Effect of high-frequency trading on mutual fund performance

被引：0

作者：

Qin, Nan ^{[1
,3
]}

Singal, Vijay ^{[2
]}

机构：

[1] Northern Illinois Univ, Dept Finance, De Kalb, IL USA

[2] Pamplin Coll Business, Dept Finance, Blacksburg, VA USA

[3] Northern Illinois Univ, Dept Finance, 236G Barsema Hall,740 Garden Rd, De Kalb, IL 60115 USA

来源：

FINANCIAL REVIEW | 2023年 / 58卷 / 02期

关键词：

high-frequency trading; illiquidity premium; mutual fund performance; trading costs; CROSS-SECTION; RISK; MARKET; EQUILIBRIUM; RETURN;

D O I：

10.1111/fire.12331

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that high-frequency trading (HFT) in stocks held by mutual funds negatively affects fund performance: when sorted by HFT intensity of holdings, funds in the top quintile underperform funds in the bottom quintile by 2.64% per year. The negative relation can be at least partially explained by the illiquidity premium induced by high-frequency traders' preference for more liquid stocks. This reason for underperformance of mutual funds has not been previously explored or documented. In addition, we do not find evidence to support the concern that HFT raises trading costs of mutual funds.

引用

页码：369 / 394

页数：26