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首页> 外文期刊>Journal of financial economics >Slow-moving capital and execution costs: Evidence from a major trading glitch
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Slow-moving capital and execution costs: Evidence from a major trading glitch

机译：缓慢移动的资本和执行成本：来自一个主要交易故障的证据

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摘要

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and volume-weighted average price slippage). Stocks in which the firm accumulates large long (short) positions increase (decrease) by about 4% during the glitch and become substantially more illiquid. It takes one day for prices and spread-based liquidity measures to revert. Institutional trading costs, however, remain significantly higher for more than one week. Both liquidity measures are also weakly correlated outside the glitch period, suggesting they capture different aspects of liquidity. (C) 2020 Elsevier B.V. All rights reserved.
机译：我们调查外源交易故障在高频市场营造件上的股票流动资金（差价，价格影响，营业额，深度）和机构交易成本（实施缺口和批量加权平均价格滑动）上的影响 。 在故障期间，该公司积累的股票累积大（短）位置增加（减少）约4％，并变得更加不足。 价格和基于差价的流动性措施需要一天的时间来恢复。 然而，制度交易成本超过一周仍然高得多。 在羽毛期外，流动性措施也略微相关，表明他们捕获了流动性的不同方面。 （c）2020 Elsevier B.v.保留所有权利。

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