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Algorithmic trading and liquidity: Long term evidence from Austria

Donnerstag, 17.01.2019

Neuer Beitrag im Journal "Finance Research Letters" von ao. Univ.-Prof. Dr. Roland Mestel, Univ.-Prof. Dr. Erik Theissen et al.

 

Algorithmic trading and liquidity: Long term evidence from Austria

We analyze the relation between algorithmic trading and liquidity using a novel data set from the Austrian equity market. Our sample covers almost 4.5 years, it identifies the market share of algorithmic trading at the stock-day level, and it comes from a market that has hitherto not been analyzed. We address the endogeneity problem using an instrumental variables approach. Our results indicate that an increase in the market share of algorithmic trading causes a reduction in quoted and effective spreads while quoted depth and price impacts are unaffected. They are consistent with algorithmic traders on average acting as market makers.

Mestel, R., Murg, M. und Theissen, E. (2018): Algorithmic trading and liquidity: Long term evidence from Austria, in: Finance Research Letters, Vol. 26, pp. 198-203, doi: doi.org/10.1016/j.frl.2018.01.004.

 

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