确保被动流动性：欧洲首次非对称减速带对市场流动性的影响

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI:10.1016/j.intfin.2025.102145

Caroline Le Moign

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引用次数: 0

摘要

本研究评估了欧洲首个不对称减速带的影响，即欧洲期货交易所（Eurex）于2019年针对法国股票期权推出的订单延迟，作为对高频交易外部性的创新回应。使用匹配的交易级数据库和差中差策略，我们分析了欧洲期货交易所及其竞争对手泛欧交易所的流动性变化。结果显示，欧洲期货交易所的流动性显著改善，价差下降，市场深度增加。值得注意的是，泛欧交易所的交叉上市期权出现了积极的溢出效应，价差下降，激进的高频交易出现增加。这些发现支持了非对称减速带在减轻延迟套利和增强竞争平台之间的市场流动性方面的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity

This study evaluates the impact of Europe’s first asymmetric speed bump, an order delay introduced by Eurex in 2019 for French equity options, as an innovative response to high-frequency trading externalities. Using a matched transaction-level database and a difference-in-difference strategy, we analyze liquidity changes on Eurex and its competitor Euronext. Results show significant improvements in Eurex liquidity, with decreased spreads and increased market depth. Notably, positive spillover effects were observed on Euronext for cross-listed options, with decreased spreads and an increase in aggressive HFT presence. These findings support the effectiveness of asymmetric speed bumps in mitigating latency arbitrage and enhancing market liquidity across competing platforms.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.