股票市场的高频交易与期权做市成本

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-07-03 DOI:10.1016/j.jfineco.2024.103900

Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade

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引用次数: 0

摘要

我们研究了股票市场的高频交易（HFT）如何影响期权市场的流动性。我们发现，股票市场中高频交易活动的增加通过两个主要渠道导致期权市场的买卖价差扩大。首先，期权做市商的报价面临 HFT 利用看跌-看涨平价违规行为的狙击风险。其次，期权市场上的知情交易进一步扩大了股票市场上的 HFT 对期权流动性的影响，因为它同时扩大了期权的买卖价差，并加剧了相关市场上激进的 HFT 活动。

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High-frequency trading in the stock market and the costs of options market making

We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid–ask spread and intensifying aggressive HFT activity in the underlying market.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.

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