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초록
영어
We investigate the trading behavior of high frequency trading (HFT), the impact of HFT on market quality, the role of HFT in the price discovery process, and the profitability of HFT, using a very detailed data set of the KOSPI 200 index futures market. We find that high frequency traders (HFTs) do not provide liquidity in the futures market, nor does HFT have any role in enhancing market quality. Indeed, HFT is detrimental to the price discovery process. This is contrary to the findings in the existing literature on HFT in equity markets. We further find that profitable opportunities of HFTs rarely exist after considering transaction costs, with the notable exception being that foreign HFTs do earn a profit in the index futures market.
목차
Abstract
I. Introduction
II. Index futures market in Korea
III. Data description
IV. Methodology
V. Empirical results
A. Liquidity provision of HFT
B. The relation between HFT and market quality
C. The relation between HFT and market quality by the three types of traders
D. Effect of HFT on price discovery
E. Trading profits of HFT
VI. Discussions
VII. Conclusion
References
Table
I. Introduction
II. Index futures market in Korea
III. Data description
IV. Methodology
V. Empirical results
A. Liquidity provision of HFT
B. The relation between HFT and market quality
C. The relation between HFT and market quality by the three types of traders
D. Effect of HFT on price discovery
E. Trading profits of HFT
VI. Discussions
VII. Conclusion
References
Table
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자료제공 : 네이버학술정보