High frequency trading, price discovery and market efficiency in the FTSE100
This study examines the role of high frequency trading in price discovery and efficiency in the FTSE100 index tick changes. Using a unique data set, we find that there is no random walk when investors extract information at a millisecond to a second. Further analysis provides evidence that the information cannot be extracted by investors at frequencies starting from 10 minutes. This is consistent with the view that the market already experiences a random walk, which contributes to the weak form of market efficiency.
The file attached to this record is the author's final peer reviewed version.
Citation : Leone V. and Kwabi, F. (2019) High frequency trading, price discovery and market efficiency in the FTSE100. Economics Letters, 181, pp. 174-177
ISSN : 0165-1765
Research Institute : Finance and Banking Research Group (FiBRe)
Peer Reviewed : Yes