Stock price leads and lags before the golden age of high-frequency trading

Bing Anderson

Applied Economics Letters, 2016, vol. 23, issue 3, 212-216

Abstract: In this article, I take advantage of the revision of the Dow Jones Industrial Average (DJIA) index membership in 1999, to study the environment for high-frequency trading back then. Between stocks leaving or joining the DJIA, and similar stocks remaining in the DJIA, consistent price lead and lag relationships can be established. This provides evidence that statistical arbitrage is entirely feasible at the time, and it is plausible that a significant portion of the trading volume in 1999 is due to high-frequency trading.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2015.1066481 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:23:y:2016:i:3:p:212-216

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2015.1066481

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().