High-Frequency Trading and the Execution Costs of Institutional Investors

被引：40

作者：

Brogaard, Jonathan ^{[1
]}

Hendershott, Terrence ^{[2
]}

Hunt, Stefan ^{[3
]}

Ysusi, Carla ^{[3
]}

机构：

[1] Univ Washington, Foster Sch Business, 434 Paccar Hall,Box 353226, Seattle, WA 98195 USA

[2] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[3] Financial Conduct Author, London, England

来源：

FINANCIAL REVIEW | 2014年 / 49卷 / 02期

关键词：

high frequency trading; execution costs; institutional investors;

D O I：

10.1111/fire.12039

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies whether high-frequency trading (HFT) increases the execution costs of institutional investors. We use technology upgrades that lower the latency of the London Stock Exchange to obtain variation in the level of HFT over time. Following upgrades, the level of HFT increases. Around these shocks to HFT institutional traders' costs remain unchanged. We find no clear evidence that HFT impacts institutional execution costs.

引用

页码：345 / 369

页数：25

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