| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2014: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
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| Outline of Final Research Achievements |
This project focused on the following two research topics: (1) how high-frequency trading (HFT) impact on the price discovery in the Nikkei 225 futures market (2) the impact of the HFT in the Nikkei 225 futures market on the stock liquidity in its spot market.
The empirical analysis show that (1) HFT is significantly increased in the Nikkei 225 futures market after the Osaka Stock Exchange launched J-GATE, the newly platform for derivative trading, and has decreased the price discovery associated with trades. (2) HFT in the Nikkei 225 futures market narrow spread of the stock liquidity on its spot market, suggesting that HFT in the futures market improves the market quality of its spot market.
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