2023 Fiscal Year Final Research Report
The study on the advanced financial technologies and their effect on the welfare of market participants
| Project/Area Number |
20K01742
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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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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2020-04-01 – 2024-03-31
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| Keywords | 金融市場分析 / 高度金融技術 / マーケット・マイクロストラクチャー |
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| Outline of Final Research Achievements |
The aim of this project is to construct a model which explains the effect of new and advanced financial technologies on the welfare of market participants and/or the informativeness of the market price. In the previous literature, there is a difference in the evaluation of the effect in that theoretical studies see it positive while empirical ones see it negative. I try to present new knowledges and regulatory implications, bridging the gap between theoretical and empirical results in the previous literature. To this end, I apply market microstructure theory and explicitly describe specific regulations and investors' characteristics in the model to obtain theoretical results that are satisfactory to the above research motivations.
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| Free Research Field |
金融ファイナンス
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| Academic Significance and Societal Importance of the Research Achievements |
構築された理論モデルを用いて，高頻度取引に代表される高度金融技術が市場に対して必ずしも悪影響を与えるものではないことを示すことができた．この結果は，従来の理論研究で指摘されている負の効果と異なる全く新しい結果であり，かつ実証研究の結果を支持する点で，学術的に高い意義があると言える．特に，高度金融技術を持つ投資家の戦略的行動の結果として市場流動性を供給するとの知見は興味深いものである．また，金融行政に対しても，単純な規制の強化が必ずしも最適であるとは言えないとの示唆を与えるものである．
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