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دانلود رایگان مقاله اثر معاملات الگوریتمی در نقدینگی بازار: شواهدی پیرامون اطلاعیه درآمد در بورس اوراق بهادار ایتالیا

عنوان مقاله
عنوان مقاله

The effect of algorithmic trading on market liquidity: Evidence around earnings announcements on Borsa Italiana

عنوان فارسی مقاله اثر معاملات الگوریتمی در نقدینگی بازار: شواهدی پیرامون اطلاعیه درآمد در بورس اوراق بهادار ایتالیا

مشخصات مقاله انگلیسی
نشریه: Elsevier Elsevier
سال انتشار

2016

عنوان مجله

Pacific-Basin Finance Journal

تعداد صفحات مقاله انگلیسی 14
رفرنس دارد
تعداد رفرنس 16

چکیده مقاله
چکیده

This paper examines the impact of algorithmic trading (AT) on market liquidity around periods of high information asymmetry when available liquidity is more valuable. We identify the implementation of proximity hosting services by Borsa Italiana, that are expected to increase AT, in order to examine the behaviour of liquidity around earnings announcements in pre- and post-AT periods. Consistent with previous research, we find that bid-ask spreads widen and market depth falls following earnings announcements in the pre-AT period. However, in the post-AT period, while we find a similar pattern in bid-ask spreads, we find no evidence of a significant fall in market depth. We also find firms that experience the largest increase in AT from pre- to post-AT periods, exhibit lower bid-ask spreads and greater depth following earnings announcements.We conclude that AT improves market liquidity by increasing the resiliency of markets around periods of high information asymmetry, specifically around earnings announcements.

کلمات کلیدی
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ارسال شده در تاریخ 1398/02/23


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