Abstract

http://ssrn.com/abstract=2330053
 
 

References (42)



 
 

Citations (1)



 


 



A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors


Lin Tong


Fordham University - Finance Area

January 8, 2015

European Finance Association Annual Meetings 2014 Paper Series

Abstract:     
This study provides evidence that HFT increases the trading costs of traditional institutional investors. One standard deviation increase in the intensity of HFT activities increases institutional execution shortfall costs by a third. Various analyses rule out an alternative explanation of reverse causality. Further evidence suggests that HFT represents as an ephemeral and extra-expensive source of liquidity provision when demand and supply among institutional investors are imbalanced, and that the impact on institutional trading costs is most pronounced when HF traders engage in directional strategies. Finally, I find that institutional trading skills matter for alleviating the adverse impact of HFT.

Number of Pages in PDF File: 53

Keywords: High frequency trading, Institutional investors, Trading costs


Download This Paper

Date posted: September 25, 2013 ; Last revised: February 28, 2015

Suggested Citation

Tong, Lin, A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors (January 8, 2015). European Finance Association Annual Meetings 2014 Paper Series. Available at SSRN: http://ssrn.com/abstract=2330053 or http://dx.doi.org/10.2139/ssrn.2330053

Contact Information

Lin Tong (Contact Author)
Fordham University - Finance Area ( email )
33 West 60th Street
New York, NY 10023
United States
Feedback to SSRN


Paper statistics
Abstract Views: 3,135
Downloads: 629
Download Rank: 23,785
References:  42
Citations:  1

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.422 seconds