Earticle

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

키워드

저자

• Eun Jung Lee [ Assistant Professor of Finance, Hanyang University, Ansan, Korea. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330