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

Research Project

Project/Area Number 26380393
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionNagasaki 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 *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)
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.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (10 results)

All 2017 2016 2015 2014

All Journal Article (3 results) (of which Peer Reviewed: 1 results,  Acknowledgement Compliant: 1 results) Presentation (6 results) (of which Int'l Joint Research: 3 results) Book (1 results)

  • [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

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Shareholder Composition and Managerial Compensation2016

    • Author(s)
      Shinya Shinozaki, Hiroshi Moriyasu, Konari Uchida
    • Journal Title

      Journal of Financial and Quantitative Analysis

      Volume: 51 Issue: 5 Pages: 1719-1738

    • DOI

      10.1017/s0022109016000636

    • Related Report
      2016 Annual Research Report
    • 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

      120006974257

    • Related Report
      2015 Research-status Report
  • [Presentation] Corporate Advertisements and the Investor Attention Effect2016

    • Author(s)
      H. Aman, N. Kasuga, and H. Moriyasu
    • Organizer
      The 21st ITS biennial conference
    • Place of Presentation
      Regent Taipei Hotel (Taipei, Taiwan)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Corporate Advertisements and the Investor Attention Effect2016

    • 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)
    • Related Report
      2016 Annual Research Report
  • [Presentation] Corporate Advertisements and the Investor Attention Effect: Evidence from the Television Commercials2015

    • 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
    • Related Report
      2015 Research-status Report
    • 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
    • Related Report
      2015 Research-status Report
  • [Presentation] Disclosure Information, Press Coverage, and Their Influence on Market Liquidity: Evidence from Japan2015

    • 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
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Disclosure Information, Press Coverage, and Their Influence on Market Liquidity: Evidence from Japan2014

    • 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
    • Related Report
      2014 Research-status Report
  • [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
    • Related Report
      2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2018-03-22  

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