High frequency trading, price discovery and market efficiency in the FTSE100

Date

2019-05-30

Advisors

Journal Title

Journal ISSN

ISSN

0165-1765

Volume Title

Publisher

Elsevier

Type

Article

Peer reviewed

Yes

Abstract

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.

Description

The file attached to this record is the author's final peer reviewed version.

Keywords

High frequency trading, price discovery, FTSE100

Citation

Leone V. and Kwabi, F. (2019) High frequency trading, price discovery and market efficiency in the FTSE100. Economics Letters, 181, pp. 174-177

Rights

Research Institute

Finance and Banking Research Group (FiBRe)