High frequency trading and comovement in financial markets

被引：75

作者：

Malceniec, Laura ^{[1
]}

Malcenieks, Karlis ^{[1
]}

Putnins, Talis J. ^{[1
,2
]}

机构：

[1] Stockholm Sch Econ Riga, Strelnieku St 4a, LV-1010 Riga, Latvia

[2] Univ Technol Sydney, POB 123, Broadway, NSW 2007, Australia

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2019年 / 134卷 / 02期

基金：

澳大利亚研究理事会;

关键词：

High frequency trading; HFT; Comovement; Commonality; Liquidity; CROSS-SECTION; LIQUIDITY; COMMONALITY; STOCKS; FRAGMENTATION; ILLIQUIDITY; RETURNS; COSTS;

D O I：

10.1016/j.jfineco.2018.02.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using the staggered entry of Chi-X in 12 European equity markets as a source of exogenous variation in high frequency trading (HFT), we find that HFT causes significant increases in comovement in returns and in liquidity. About one-third of the increase in return comovement is due to faster diffusion of market-wide information. We attribute the remaining two-thirds to correlated trading strategies of HFTs. The increase in liquidity comovement is consistent with HFT liquidity providers being better able to monitor other stocks and adjust their liquidity provision accordingly. Our findings suggest a channel by which HFT impacts the cost of capital. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：381 / 399

页数：19

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