EconPapers    
Economics at your fingertips  
 

Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market

Yue Zhao and Difang Wan

Journal of Futures Markets, 2018, vol. 38, issue 2, 243-270

Abstract: We compare the effects of institutional and individual trading on intraday price processes in the emerging commodity futures market of China with a unique trade‐by‐trade dataset. Institutional investors collectively facilitate price discovery with positive permanent price impacts, but their beneficial role is time agglomerated, that is, only institutional highly‐concentrated trades executed at the same millisecond are accompanied by information effects. Transitory price disturbances are mitigated by informed institutional highly‐concentrated trading in the agricultural sector, whereas these disturbances are alleviated by liquidity‐enhancing individual trading in the industrial sector. Overall, the entire market is abnormally dominated by transitory volatility instead of informational volatility.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/fut.21888

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:wly:jfutmk:v:38:y:2018:i:2:p:243-270

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-17
Handle: RePEc:wly:jfutmk:v:38:y:2018:i:2:p:243-270