Cumming, Douglas J.
[Verfasser:in]
;
Zhan, Feng
[Sonstige Person, Familie und Körperschaft];
Aitken, Michael J.
[Sonstige Person, Familie und Körperschaft]
High Frequency Trading and End-of-Day Manipulation
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 30, 2012 erstellt
Beschreibung:
We examine the impact of higher frequency trading on the frequency and severity of suspected end of day price dislocation cases in 22 stock exchanges around the world over the period January 2003-June 2011. Controlling for country, market, legal and other differences across exchanges and over time, and using a variety of robustness checks including difference-in-differences tests, we show that the presence of high frequency trading in some market has significantly mitigated the frequency and severity of end-of-day manipulation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day manipulation