EconPapers    
Economics at your fingertips  
 

Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods

Mario Bellia, Loriana Pelizzon (), Marti G. Subrahmanyam, Jun Uno and Darya Yuferova

No 144, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in different stocks and on different days. In spite of the lack of immediate execution, about one quarter of HFTs participate in the pre-opening period, and contribute signifi- cantly to market quality in the pre-opening period, the opening auction that ensues and the continuous trading period. Their contribution is largely different from that of the other HFTs during the continuous period.

Keywords: High-Frequency Traders (HFTs); Pre-Opening; Opening Call Auction; PriceDiscovery; Liquidity provision (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/203301/1/safe-wp-144_2.pdf (application/pdf)

Related works:
Working Paper: Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods (2020) Downloads
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:zbw:safewp:144

Access Statistics for this paper

More papers in SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2020-06-28
Handle: RePEc:zbw:safewp:144