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dc.contributor.author이은정-
dc.date.accessioned2019-03-08T02:14:48Z-
dc.date.available2019-03-08T02:14:48Z-
dc.date.issued2015-01-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v. 35, No. 1, Page. 31-51en_US
dc.identifier.issn1096-9934-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://onlinelibrary.wiley.com/doi/10.1002/fut.21640/full-
dc.identifier.urihttps://repository.hanyang.ac.kr/handle/20.500.11754/100616-
dc.description.abstractWe 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, 2015en_US
dc.language.isoen_USen_US
dc.publisherWILEY-BLACKWELLen_US
dc.subjectPRICE DISCOVERYen_US
dc.subjectDOMESTIC INVESTORSen_US
dc.subjectLIQUIDITYen_US
dc.titleHIGH FREQUENCY TRADING IN THE KOREAN INDEX FUTURES MARKETen_US
dc.typeArticleen_US
dc.relation.no1-
dc.relation.volume35-
dc.identifier.doi10.1002/fut.21640-
dc.relation.page31-51-
dc.relation.journalJOURNAL OF FUTURES MARKETS-
dc.contributor.googleauthorLee, EJ-
dc.relation.code2015015617-
dc.sector.campusE-
dc.sector.daehakCOLLEGE OF BUSINESS AND ECONOMICS[E]-
dc.sector.departmentDIVISION OF BUSINESS ADMINISTRATION-
dc.identifier.pidejunglee-
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COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
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