Does low latency trading improve market efficiency? A discussion
成果类型：
Article
署名作者：
Erhard, Ryan; Sloan, Richard G.
署名单位：
University of Southern California
刊物名称：
JOURNAL OF ACCOUNTING & ECONOMICS
ISSN/ISSBN：
0165-4101
DOI：
10.1016/j.jacceco.2020.101342
发表日期：
2020
关键词：
摘要：
Chordia and Miao (2020) provide evidence that low-latency trading (LLT) improves the long-term informational efficiency of stock prices. This discussion raises two primary concerns with their analysis. First, the mechanism through which LLT enhances long-term efficiency is unclear. Second, CM's measure of LLT trading activity is correlated with non-LLT trading activity, which may in turn cause the documented improvements in efficiency. We close by proposing an alternative explanationdchanges in market microstructure have had a bifurcated impact on liquidity, enhancing efficiency for large and liquid stocks, but not for small and illiquid stocks. (C) 2020 Elsevier B.V. All rights reserved.
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