| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 102 === With the development of technology, financial markets have been changing rapidly in recent years. High frequency trading has caught the attention of monitors as well as researchers. This study follows the method of Hagstromer and Norden (2013) to subgroup HFTs into market makers and opportunistic HFTs. We find that there exists at least two kinds of HFTs in the Taiwan futures market and they behave differently in some way. For market makers, they would increase the aggressiveness of their orders when the depth is shallow and the prior period’s return is positive. However, opportunistic HFTs act in the opposite way. Moreover, from the empirical research event study, we find that before 2011 both types of HFTs increase the problem of adverse selection, while after 2011, market makers play a positive role in improving liquidity, but opportunistic HFTs still decrease it. For the event study, we find HFTs reduce their negative impact on adverse selection. It may be that the more quickly the exchange displays the information, the less information asymmetry. Since HFTs lost some of their advantage, the fast traders are not able to use information to adverse select other investors as before. We believe that improving the transparency of the market, can reduce the negative impact of HFTs on market quality.
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