Does Algorithmic Trading Improve Liquidity?

被引：712

作者：

Hendershott, Terrence ^{[1
]}

Jones, Charles M. ^{[2
]}

Menkveld, Albert J. ^{[3
]}

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[2] Columbia Business Sch, New York, NY USA

[3] Vrije Univ Amsterdam, Amsterdam, Netherlands

来源：

JOURNAL OF FINANCE | 2011年 / 66卷 / 01期

关键词：

PANEL-DATA; INFORMATION; BEHAVIOR; COMPONENTS; MARKET;

D O I：

10.1111/j.1540-6261.2010.01624.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade-related price discovery. The findings indicate that AT improves liquidity and enhances the informativeness of quotes.

引用

页码：1 / 33

页数：33

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