Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146417
Authors: 
Bellia, Mario
Pelizzon, Loriana
Subrahmanyam, Marti G.
Uno, Jun
Yuferova, Darya
Year of Publication: 
2016
Series/Report no.: 
SAFE Working Paper Series 144
Abstract: 
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in different stocks and on different days. In spite of the lack of immediate execution, about one quarter of HFTs participate in the pre-opening period, and contribute significantly to market quality in the pre-opening period, the opening auction that ensues and the continuous trading period. Their contribution is largely different from that of the other HFTs during the continuous period.
Subjects: 
High-Frequency Traders (HFTs)
pre-opening
opening call auction
price discovery
liquidity provision
JEL: 
G12
G14
Document Type: 
Working Paper

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