The relationship between spot and futures market in high-frequency trading era: empirical analysis using high frequency data

• Project/Area Number: 26380393
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Nagasaki University
• Principal Investigator: MORIYASU Hiroshi 長崎大学, 経済学部, 教授 (10304924)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥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)
• 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

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.

Research Products

• [Journal Article] 高速取引が日経平均先物市場の価格発見に与える影響 (2017)
  • Author(s): 森保 洋
  • Journal Title: 先物・オプションレポート Volume: 29 Pages: 1-5
• [Journal Article] Shareholder Composition and Managerial Compensation (2016)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, Konari Uchida
  • Journal Title: Journal of Financial and Quantitative Analysis Volume: 51 Pages: 1719-1738
  • DOI: 10.1017/s0022109016000636
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 先物市場における高速取引が現物市場の流動性に与える影響 (2016)
  • Author(s): 森保 洋
  • Journal Title: 経営と経済 Volume: 95 Pages: 95-115
  • NAID: 120005728524
• [Presentation] Corporate Advertisements and the Investor Attention Effect (2016)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: The 21st ITS biennial conference
  • Place of Presentation: Regent Taipei Hotel (Taipei, Taiwan)
  • Int'l Joint Research
• [Presentation] Corporate Advertisements and the Investor Attention Effect (2016)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 横浜国立大学 (神奈川県横浜市)
• [Presentation] Corporate Advertisements and the Investor Attention Effect: Evidence from the Television Commercials (2015)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: The 28th Australasian Finance and Banking Conference
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2015-12-18
  • Int'l Joint Research
• [Presentation] 派生証券市場の取引環境変化が現物市場の価格形成に与える影響 (2015)
  • Author(s): 森保 洋
  • Organizer: 第84回証券経済学会全国大会
  • Place of Presentation: 山口大学（山口県・山口市）
  • Year and Date: 2015-11-08
• [Presentation] Disclosure Information, Press Coverage, and Their Influence on Market Liquidity: Evidence from Japan (2015)
  • Author(s): H. Aman and H. Moriyasu
  • Organizer: The 27th Asian-Pacific Conference on International Accounting Issues
  • Place of Presentation: Gold Coast, Australia
  • Year and Date: 2015-11-03
  • Int'l Joint Research
• [Presentation] Disclosure Information, Press Coverage, and Their Influence on Market Liquidity: Evidence from Japan (2014)
  • Author(s): Hiroyuki Aman, Hiroshi Moriyasu
  • Organizer: Disclosure Information, Press Coverage, and Their Influence on Market Liquidity: Evidence from Japan
  • Place of Presentation: Bali Nusa Dua Convention Center(インドネシア)
  • Year and Date: 2014-06-25
• [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