High-Frequency Trading and Market Quality: the Case of a Slightly Exposed Market
| dc.contributor.author | Ekinci, Cumhur | |
| dc.contributor.author | Ersan, Oguz | |
| dc.date.accessioned | 2023-10-19T15:11:43Z | |
| dc.date.available | 2023-10-19T15:11:43Z | |
| dc.date.issued | 2022 | |
| dc.description.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, 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.sponsorship | Scientific and Technological Research Council of Turkey (TUBITAK) [117K908] | en_US |
| dc.description.sponsorship | This 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.citationcount | 6 | |
| dc.identifier.doi | 10.1016/j.irfa.2021.102004 | en_US |
| dc.identifier.issn | 1057-5219 | |
| dc.identifier.issn | 1873-8079 | |
| dc.identifier.scopus | 2-s2.0-85121871880 | en_US |
| dc.identifier.uri | https://doi.org/10.1016/j.irfa.2021.102004 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12469/5187 | |
| dc.khas | 20231019-WoS | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Science Inc | en_US |
| dc.relation.ispartof | International Review of Financial Analysis | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Liquidity | En_Us |
| dc.subject | Impact | En_Us |
| dc.subject | Traders | En_Us |
| dc.subject | Provision | En_Us |
| dc.subject | High-frequency trading (HFT) | en_US |
| dc.subject | Liquidity | |
| dc.subject | Liquidity provision | en_US |
| dc.subject | Impact | |
| dc.subject | Volatility | en_US |
| dc.subject | Traders | |
| dc.subject | Returns | en_US |
| dc.subject | Provision | |
| dc.subject | Borsa Istanbul | en_US |
| dc.title | High-Frequency Trading and Market Quality: the Case of a Slightly Exposed Market | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Ekinci, Cumhur/0000-0002-0475-2272 | |
| gdc.author.id | Ersan, Oguz/0000-0003-3135-5317 | |
| gdc.author.institutional | Ersan, Oğuz | |
| gdc.author.wosid | Ekinci, Cumhur/A-5251-2018 | |
| gdc.author.wosid | Ersan, Oguz/J-9287-2017 | |
| gdc.bip.impulseclass | C4 | |
| gdc.bip.influenceclass | C5 | |
| gdc.bip.popularityclass | C4 | |
| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.description.departmenttemp | [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, Turkey | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 102004 | |
| gdc.description.volume | 79 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W4200605434 | |
| gdc.identifier.wos | WOS:000752848000021 | en_US |
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| gdc.oaire.influence | 3.426933E-9 | |
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| gdc.oaire.keywords | Borsa Istanbul | |
| gdc.oaire.keywords | Impact | |
| gdc.oaire.keywords | Liquidity | |
| gdc.oaire.keywords | Provision | |
| gdc.oaire.keywords | Volatility | |
| gdc.oaire.keywords | High-frequency trading (HFT) | |
| gdc.oaire.keywords | Liquidity provision | |
| gdc.oaire.keywords | Traders | |
| gdc.oaire.keywords | Returns | |
| gdc.oaire.popularity | 1.1382864E-8 | |
| gdc.oaire.publicfunded | false | |
| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
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| gdc.opencitations.count | 9 | |
| gdc.plumx.crossrefcites | 7 | |
| gdc.plumx.mendeley | 19 | |
| gdc.plumx.scopuscites | 8 | |
| gdc.scopus.citedcount | 8 | |
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