G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w21122
来源IDWorking Paper 21122
High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
Takatoshi Ito; Masahiro Yamada
发表日期2015-04-27
出版年2015
语种英语
摘要We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade intensively on the market-wide information more rapidly than other market participants, and that their order flows contain more information about the Forex rates than those of the Forex themselves. As a result, order flows by HFTs in Nasdaq significantly lead those in the Forex activities. Reflecting each market's exposures to the common shocks during the Global Financial crisis, these spillovers vary over time, and HFTs have increased their influences. These empirical results are consistent with theoretical predictions of the rational expectations model of multi-asset trading.
主题International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URLhttps://www.nber.org/papers/w21122
来源智库National Bureau of Economic Research (United States)
引用统计
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578797
推荐引用方式
GB/T 7714
Takatoshi Ito,Masahiro Yamada. High-frequency, Algorithmic Spillovers Between NASDAQ and Forex. 2015.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Takatoshi Ito]的文章
[Masahiro Yamada]的文章
百度学术
百度学术中相似的文章
[Takatoshi Ito]的文章
[Masahiro Yamada]的文章
必应学术
必应学术中相似的文章
[Takatoshi Ito]的文章
[Masahiro Yamada]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。