Algorithmic trading and market quality: International evidence

Algorithmic trading and market quality: International evidence

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases AT as an exogenous instrument to draw causal inferences about AT on market quality. On average, AT improves liquidity an...

Full description

Saved in:
Bibliographic Details
Main Authors: BOEHMER, Ekkehart, FONG, Kingsley, WU, Juan Julie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Algorithmic trading
market quality
high frequency trading
buy-side institution
execution costs
Corporate Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6685
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7684/viewcontent/AT_Sep2019_sv.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6685
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7684/viewcontent/AT_Sep2019_sv.pdf

Similar Items