2016 Fiscal Year Final Research Report
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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| Keywords | 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 |
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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| Free Research Field |
計量ファイナンス
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