The relationship between spot and futures market in high-frequency trading era: empirical analysis using high frequency data
| Project/Area Number | 26380393 |
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nagasaki University |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed(Fiscal Year 2016)
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| 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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| Keywords | マーケットマイクロストラクチャー / 金融論 / マーケット・マイクロストラクチャー / 先物市場 / 高頻度データ |
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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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Report
(4results)
Research Products
(10results)
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[Book] スマート化する放送2014
Author(s)
中村伊知哉,稲田修一,内山隆,渡辺久哲,三友仁志,春日教測,阿萬弘行,森保洋,宍戸常寿,音好弘,奥村信幸,林秀弥
Total Pages
253
Publisher
三省堂
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