High-frequency trading and market quality: The case of a “slightly exposed” market

Cumhur Ekinci; Oğuz Ersan

doi:10.1016/j.irfa.2021.102004

High-frequency trading and market quality: The case of a “slightly exposed” market

Cumhur Ekinci^*, Oğuz Ersan

^*Bu çalışma için yazışmadan sorumlu yazar

İşletme Mühendisliği Bölümü

Kadir Has University

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

7 Atıf (Scopus)

Özet

Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.

Orijinal dil	İngilizce
Makale numarası	102004
Dergi	International Review of Financial Analysis
Hacim	79
DOI'lar	https://doi.org/10.1016/j.irfa.2021.102004
Yayın durumu	Yayınlandı - Oca 2022

Bibliyografik not

Publisher Copyright:
© 2021

Finansman

This work was supported by the Scientific and Technological Research Council of Turkey (TUBITAK) [grant no 117K908 ]. We thank Yakup Arı, participants at the Lancaster University Financial Econometrics Conference, Bilgi University Conference in honor of Ramazan Gencay, and seminar participants at Bogazici University Financial Engineering program and Kadir Has University International Trade and Finance Department, for valuable comments. This work was supported by the Scientific and Technological Research Council of Turkey (TUBITAK) [grant no 117K908]. We thank Yakup Ar?, participants at the Lancaster University Financial Econometrics Conference, Bilgi University Conference in honor of Ramazan Gencay, and seminar participants at Bogazici University Financial Engineering program and Kadir Has University International Trade and Finance Department, for valuable comments.

Finansörler	Finansör numarası
Bogazici University
TUBITAK	117K908
Lancaster University
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

Belgeye Erişim

10.1016/j.irfa.2021.102004

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "High-frequency trading and market quality: The case of a “slightly exposed” market",

abstract = "Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.",

keywords = "Borsa Istanbul, High-frequency trading (HFT), Liquidity provision, Returns, Volatility",

author = "Cumhur Ekinci and Oğuz Ersan",

note = "Publisher Copyright: {\textcopyright} 2021",

year = "2022",

month = jan,

doi = "10.1016/j.irfa.2021.102004",

language = "English",

volume = "79",

journal = "International Review of Financial Analysis",

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TY - JOUR

T1 - High-frequency trading and market quality

T2 - The case of a “slightly exposed” market

AU - Ekinci, Cumhur

AU - Ersan, Oğuz

PY - 2022/1

Y1 - 2022/1

N2 - Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.

AB - Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.

KW - Borsa Istanbul

KW - High-frequency trading (HFT)

KW - Liquidity provision

KW - Returns

KW - Volatility

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U2 - 10.1016/j.irfa.2021.102004

DO - 10.1016/j.irfa.2021.102004

M3 - Article

AN - SCOPUS:85121871880

SN - 1057-5219

VL - 79

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

M1 - 102004

ER -

High-frequency trading and market quality: The case of a “slightly exposed” market

Özet

Bibliyografik not

Finansman

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap