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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/142448

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142448

Title:	Algorithmic trading and market quality: Evidence from the Taiwan index futures market
Authors:	周冠男 Chou, Robin K. Chang, Ya-Kai
Contributors:	財管系
Keywords:	algorithmic trading;market quality;price discovery;trading activity
Date:	2022-07
Issue Date:	2022-10-20 16:05:57 (UTC+8)
Abstract:	This study examines the effects of different algorithmic traders on market quality and the price discovery process, considering the impact of different trading strategies and market conditions. Algorithmic foreign institutions and proprietary firms act strategically, by monitoring market conditions. During stable market conditions, they supply liquidity, and this strategic activity both improves price efficiency and increases fundamental volatility. In more turbulent market conditions, algorithmic foreign institutions and proprietary firms instead demand liquidity, and their trading activity leads to an increase in price efficiency and a decrease in excessive volatility. Overall, algorithmic trades do not harm market quality.
Relation:	Journal of Futures Markets, 42(10), pp.1837-1855
Data Type:	article
DOI 連結:	https://doi.org/10.1002/fut.22362
DOI:	10.1002/fut.22362
Appears in Collections:	[財務管理學系] 期刊論文

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