کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7374118 1479841 2018 67 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
ترجمه فارسی عنوان
نقش تجارت الگوریتمی در نقدینگی سهام و مشترک در بازارهای نظم محدود الکترونیکی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low frequency. These findings appear to arise due to the reduction in monitoring costs. Further analysis reveals that, following large market declines, the effect of algorithmic trading on spreads and market depth weakens while the effect on commonality in stock liquidity intensifies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 49, June 2018, Pages 103-128
نویسندگان
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