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先物市場における高速取引が現物市場の流動性に与える影響


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Title: 先物市場における高速取引が現物市場の流動性に与える影響
Other Titles: The Effect of High-frequency Trading in Stock Index Futures Market on the Spot Market Liquidity
Authors: 森保, 洋
Authors (alternative): Moriyasu, Hiroshi
Issue Date: 25-Mar-2016
Publisher: 長崎大学経済学会 / Economics Society of Nagasaki University
Citation: 経営と経済, 95(3-4), pp.95-115; 2016
Abstract: Osaka Stock Exchange introduced J-GATE, a newly trading platform for derivative trading on February 2011.By using the introduction as an exogenous event that increases high-frequency trading in the futures market, this paper investigates whether high-frequency trading in futures market improve its spot market liquidity. The empirical results provide the evidence that high-frequency trading improve spot market liquidity in terms of spread measures. However, the results find that the market depth in the spot market is not improved by the high-frequency trading.
Description: 長崎大学経済学部創立110周年記念論文集 / Essays in Commemoration of the 110th Anniversary of the Faculty of Economics, Nagasaki University
Keywords: market microstructure / stock liquidity / Nikkei 225 futures
URI: http://hdl.handle.net/10069/36324
ISSN: 02869101
Type: Departmental Bulletin Paper
Text Version: publisher
Appears in Collections:Volume 95 No. 3-4

Citable URI : http://hdl.handle.net/10069/36324

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