کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7355728 | 1477897 | 2018 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We analyze price discovery dynamics for Canadian companies cross-listed on the NYSE from January 2004 to August 2017. We employ a structural vector autoregression to assess the interactions between price discovery, liquidity and algorithmic trading activity. We observe that over time, the U.S. market is gaining dominance in terms of price discovery. Improvements in liquidity increase a market's contribution to price discovery, and vice versa. We find that algorithmic trading activity is negatively related to price discovery, indicating negative externalities of high-frequency trading. These results are robust to fragmentation in the Canadian financial markets as well as regulatory changes in both the U.S. and Canada.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 56, March 2018, Pages 136-152
Journal: International Review of Financial Analysis - Volume 56, March 2018, Pages 136-152
نویسندگان
Bart Frijns, Ivan Indriawan, Alireza Tourani-Rad,