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

Cumhur Ekinci*, Oğuz Ersan

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Araştırma sonucu: ???type-name???Makalebilirkişi

5 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 dilİngilizce
Makale numarası102004
DergiInternational Review of Financial Analysis
Hacim79
DOI'lar
Yayın durumuYayınlandı - 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.

FinansörlerFinansör numarası
Bogazici University
TUBITAK117K908
Lancaster University
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

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