Departmental Bulletin Paper 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

森保, 洋

95 ( 3-4 )  , pp.95 - 115 , 2016-03-25 , 長崎大学経済学会
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.

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