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

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dc.cclicenceCC-BY-NCen
dc.contributor.authorLeone, Vitor
dc.contributor.authorKwabi, Frank
dc.date.acceptance2019-05-01
dc.date.accessioned2019-05-07T10:11:54Z
dc.date.available2019-05-07T10:11:54Z
dc.date.issued2019-05-30
dc.descriptionThe file attached to this record is the author's final peer reviewed version.en
dc.description.abstractThis 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.en
dc.funderOther external funder (please detail below)en
dc.funder.otherNottingham Business School-Seedcorn-Nottingham Trent Universityen
dc.identifier.citationLeone V. and Kwabi, F. (2019) High frequency trading, price discovery and market efficiency in the FTSE100. Economics Letters, 181, pp. 174-177en
dc.identifier.doihttps://doi.org/10.1016/j.econlet.2019.05.022
dc.identifier.issn0165-1765
dc.identifier.urihttps://www.dora.dmu.ac.uk/handle/2086/17774
dc.language.isoenen
dc.peerreviewedYesen
dc.publisherElsevieren
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectHigh frequency tradingen
dc.subjectprice discoveryen
dc.subjectFTSE100en
dc.titleHigh frequency trading, price discovery and market efficiency in the FTSE100en
dc.typeArticleen

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