High-frequency trading and market quality: The case of a slightly exposed market

dc.authoridEkinci, Cumhur/0000-0002-0475-2272
dc.authoridErsan, Oguz/0000-0003-3135-5317
dc.authorwosidEkinci, Cumhur/A-5251-2018
dc.authorwosidErsan, Oguz/J-9287-2017
dc.contributor.authorErsan, Oğuz
dc.contributor.authorErsan, Oguz
dc.date.accessioned2023-10-19T15:11:43Z
dc.date.available2023-10-19T15:11:43Z
dc.date.issued2022
dc.department-temp[Ekinci, Cumhur] Istanbul Tech Univ ITU, Fac Management, TR-34367 Istanbul, Turkey; [Ersan, Oguz] Kadir Has Univ, Fac Econ Adm & Social Sci, Dept Int Trade & Finance, TR-34083 Istanbul, Turkeyen_US
dc.description.abstractImpacts 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, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.en_US
dc.description.sponsorshipScientific and Technological Research Council of Turkey (TUBITAK) [117K908]en_US
dc.description.sponsorshipThis work was supported by the Scientific and Technological Research Council of Turkey (TUBITAK) [grant no 117K908]. We thank Yakup Ari, participants at the Lancaster University Financial Econometrics Conference, Bilgi University Conference in honor of Ramazan Gencay, and seminar participants at Bogazici University Financial Engineering program and Kadir Has University International Trade and Finance Department, for valuable comments.en_US
dc.identifier.citation6
dc.identifier.doi10.1016/j.irfa.2021.102004en_US
dc.identifier.issn1057-5219
dc.identifier.issn1873-8079
dc.identifier.scopus2-s2.0-85121871880en_US
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.irfa.2021.102004
dc.identifier.urihttps://hdl.handle.net/20.500.12469/5187
dc.identifier.volume79en_US
dc.identifier.wosWOS:000752848000021en_US
dc.identifier.wosqualityQ1
dc.khas20231019-WoSen_US
dc.language.isoenen_US
dc.publisherElsevier Science Incen_US
dc.relation.ispartofInternational Review of Financial Analysisen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectLiquidityEn_Us
dc.subjectImpactEn_Us
dc.subjectTradersEn_Us
dc.subjectProvisionEn_Us
dc.subjectHigh-frequency trading (HFT)en_US
dc.subjectLiquidity
dc.subjectLiquidity provisionen_US
dc.subjectImpact
dc.subjectVolatilityen_US
dc.subjectTraders
dc.subjectReturnsen_US
dc.subjectProvision
dc.subjectBorsa Istanbulen_US
dc.titleHigh-frequency trading and market quality: The case of a slightly exposed marketen_US
dc.typeArticleen_US
dspace.entity.typePublication
relation.isAuthorOfPublication668cc704-cc26-4a39-bb0f-5db2099bf1d3
relation.isAuthorOfPublication.latestForDiscovery668cc704-cc26-4a39-bb0f-5db2099bf1d3

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