{"title":"High-Frequency Trading and Market Quality: The Case of 'Slightly Exposed' Market","authors":"Cumhur Ekinci, Oguz Ersan","doi":"10.2139/ssrn.3190717","DOIUrl":null,"url":null,"abstract":"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: liquidity provision by non-HFT traders significantly reduces with HFT; HFT activity on the sell side induces higher volatility; and HFT generates profits on both positive and negative return days. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"171 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3190717","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 3
Abstract
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: liquidity provision by non-HFT traders significantly reduces with HFT; HFT activity on the sell side induces higher volatility; and HFT generates profits on both positive and negative return days. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.
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