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High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-27
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Since China’s first stock index futures, China Securities Index 300 (CSI300) stock index futures were published in 2010, and China’s stock index futures market is now in a period of rapid development and play a key role in price discovery.
During 2014 to 2015, China’s stock index futures market fluctuated abnormally, and the overuse of high-frequency trading (HFT) strategies in the stock index futures market was blamed as the main reason of the abnormal volatility.
To lower down market fluctuation, the regulatory institute then announced a series of trade restriction policy to prevent the overuse of HFT behaviour.
However, until now, the impact of such trade restriction policy for HFT remains uncertain.
To tackle this issue, based on minute-level HFT data from the CSI 300 index futures market, this paper aims to investigate the relationship between HFT and the exogenous liquidity risk and how HFT affects China’s stock index futures market on its liquidity using the liquidity-adjusted value at risk (LVaR) model.
The findings indicate that HFT improves the return of the liquidity provider and reduces the exogenous liquidity risk significantly.
American Psychological Association (APA)
Shi, GuangWei& Chen, Yun. 2020. High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions. Complexity،Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1145446
Modern Language Association (MLA)
Shi, GuangWei& Chen, Yun. High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions. Complexity No. 2020 (2020), pp.1-11.
https://search.emarefa.net/detail/BIM-1145446
American Medical Association (AMA)
Shi, GuangWei& Chen, Yun. High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions. Complexity. 2020. Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1145446
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1145446