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HIGH FREQUENCY TRADING IN THE KOREAN INDEX FUTURES MARKET

Title
HIGH FREQUENCY TRADING IN THE KOREAN INDEX FUTURES MARKET
Author
이은정
Keywords
PRICE DISCOVERY; DOMESTIC INVESTORS; LIQUIDITY
Issue Date
2015-01
Publisher
WILEY-BLACKWELL
Citation
JOURNAL OF FUTURES MARKETS, v. 35, No. 1, Page. 31-51
Abstract
We investigate the trading behavior of high frequency trading (HFT), the impact of HFT on market quality, its role in the price discovery process, and its profitability, 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 finding is contrary to those in the existing literature on HFT in equity markets. We also find that profitable opportunities for HFTs are rare after transaction costs are considered, with the notable exception that foreign HFTs can earn a profit in the index futures market. (c) 2013 Wiley Periodicals, Inc. Jrl Fut Mark 35:31-51, 2015
URI
http://onlinelibrary.wiley.com/doi/10.1002/fut.21640/fullhttp://repository.hanyang.ac.kr/handle/20.500.11754/100616
ISSN
1096-9934; 0270-7314
DOI
10.1002/fut.21640
Appears in Collections:
COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
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