Download This PaperHigh-Frequency Traders and Liquidity Supply During the Pandemic
15 Pages Posted: 12 Sep 2022
Date Written: September 4, 2022
Abstract
This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their supply of liquidity in times of sustained market stress that lasted several days. The results are remarkably consistent for all size categories of stocks. These are the first direct evidence of the behavior of HFT during the pandemic.
Keywords: Market microstructure, HFT, Liquidity crisis, Passivity
JEL Classification: G12, G14, G15
Suggested Citation: Suggested Citation
Banerjee, Anirban and Nawn, Samarpan, High-Frequency Traders and Liquidity Supply During the Pandemic (September 4, 2022). Available at SSRN: https://ssrn.com/abstract=4209507 or http://dx.doi.org/10.2139/ssrn.4209507
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