High frequency trading and the 2008 short-sale ban

• 成果类型: Article
• 署名作者: Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
• 署名单位: University of Washington; University of Washington Seattle; University of California System; University of California Berkeley; Queens University - Canada
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.01.008
• 发表日期: 2017
• 页码: 22-42
• 关键词: High frequency trading; Short selling; liquidity

摘要

We examine the effects of high-frequency traders (HFTs) on liquidity using the September 2008 short sale-ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs, we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs' short selling improves liquidity, as measured by bid-ask spreads. HFTs' short selling has the opposite effect by adversely selecting limit orders, which can decrease liquidity supplier competition and reduce trading by non-HFTs. The results highlight that some HFTs' activities are harmful to liquidity during the extremely volatile short-sale ban period. (C) 2017 Elsevier B.V. All rights reserved.