The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.
Algorithmic Trading and Market Quality: International Evidence
Open accessAbstract
We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases AT as an exogenous instrument to draw causal inferences about AT on market quality. On average, AT improves liquidity and informational efficiency but increases short-term volatility. Importantly, AT also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across markets and thus across a wide range of AT environments. We further document that the beneficial effect of AT is stronger in large stocks than in small stocks.
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Cites
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
(2016) · Gaming Law Review and Economics · doi:10.1089/glre.2016.201011 · Cited by 2,179
Does Algorithmic Trading Improve Liquidity?
HENDERSHOTT, T., JONES, C. M., & MENKVELD, A. J. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01624.x · Cited by 1,673
High-Frequency Trading and Price Discovery
Brogaard, J., Hendershott, T., & Riordan, R. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhu032 · Cited by 1,146
Hasbrouck, J., & Saar, G. (2013) · Journal of Financial Markets · doi:10.1016/j.finmar.2013.05.003 · Cited by 865
High frequency trading and the new market makers
Menkveld, A. J. (2013) · Journal of Financial Markets · doi:10.1016/j.finmar.2013.06.006 · Cited by 800
The Flash Crash: High‐Frequency Trading in an Electronic Market
KIRILENKO, A., KYLE, A. S., SAMADI, M., & TUZUN, T. (2017) · The Journal of Finance · doi:10.1111/jofi.12498 · Cited by 795
Institutional Investors and the Informational Efficiency of Prices
Boehmer, E., & Kelley, E. K. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp028 · Cited by 762
Self-citationBrunnermeier, M. K., & Pedersen, L. H. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00781.x · Cited by 572
The Governance Effect of the Media's News Dissemination Role: Evidence from Insider Trading
DAI, L., PARWADA, J. T., & ZHANG, B. (2015) · Journal of Accounting Research · doi:10.1111/1475-679x.12073 · Cited by 479
Cited by
A new sociology of humans and machines
Tsvetkova, M., Yasseri, T., Pescetelli, N., & Werner, T. (2024) · arXiv · doi:10.48550/arxiv.2402.14410 · Cited by 83
Metadata
- Authors
- Boehmer, E., Fong, K., & Wu, J. (.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2020-10-13
- Volume
- 56
- Issue
- 8
- Pages
- 2659-2688
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3122734080
- Cited by
- 322
- References
- 34
- FWCI
- 25.09
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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