THE JOURNAL OF FINANCIAL ECONOMICS· VOL.124, ISSUE.1 ·APRIL 2017

高频交易和2008年的卖空禁止令

作者：Jonathan Brogaard (University of Washington), Terrence Hendershott (University of California, Berkeley), Ryan Riordan (Queen's University, Canada)

摘要：我们通过2008年的卖空禁止令检验了高频交易（HFTs）对流动性的影响。为了厘清高频交易卖空和非高频交易卖空的影响，我们使用了工具变量法找出卖空禁止令在横截面上对高频交易和非高频交易的影响。我们使用买卖价差衡量流动性，发现非高频交易的卖空操作提高了流动性。但高频交易因为逆向选择限制价单，降低了流动性提供者之间的竞争，减少了非高频交易之间的交易，从而降低了流动性。该结论强调了一部分高频交易活动在禁止卖空、股价大幅波动的时期会对流动性产生不好的影响。

关键字：高频交易，卖空，流动性

High frequency trading and the 2008 short-sale ban

Jonathan Brogaard (University of Washington), Terrence Hendershott (University of California, Berkeley), Ryan Riordan (Queen's University, Canada)

ABSTRACT

We examine the effects of high-frequency traders (HFTs) on liquidity using the September 2008 short sale-ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs, we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs’ short selling improves liquidity, as measured by bid-ask spreads. HFTs’ short selling has the opposite effect by adversely selecting limit orders, which can decrease liquidity supplier competition and reduce trading by non-HFTs. The results highlight that some HFTs’ activities are harmful to liquidity during the extremely volatile short-sale ban period.

Keywords: High frequency trading, Short selling, Liquidity

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17300211

翻译：吴雨玲