Publication Type
Working Paper
Version
publishedVersion
Publication Date
10-2023
Abstract
In this paper we examine the role of the consolidated feeds in the current U.S. equities market by studying exogenous events which affect their speed and availability respectively. We find that faster consolidated feeds have an adverse, albeit mild, impact on market liquidity, possibly as a result of more non-high-frequency algorithmic trading activities from informed institutional traders. Moreover, when the consolidated feeds become corrupted or unavailable due to technical glitches, market liquidity significantly worsens. Our findings suggest that the consolidated feeds remain a crucial component of today’s market data infrastructure.
Keywords
consolidated feed, algorithmic trading, market liquidity
Discipline
Finance and Financial Management
Research Areas
Finance
First Page
1
Last Page
61
Identifier
10.2139/ssrn.4240013
Citation
YU, Shihao.
Does the consolidated feed matter?. (2023). 1-61.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7507
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.4240013