The Effect of NYSE American’s Latency Delay on Informed Trading

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dc.contributor.authorMorris, Jeremy
dc.contributor.supervisorXu, Ke
dc.date.accessioned2023-12-18T23:22:02Z
dc.date.available2023-12-18T23:22:02Z
dc.date.copyright2023en_US
dc.date.issued2023-12-18
dc.degree.departmentDepartment of Economics
dc.degree.levelMaster of Arts M.A.en_US
dc.description.abstractInsider trading plays a significant role in financial markets and how markets respond to new information. Informed high-frequency traders pose a major risk to liquidity providers in financial markets due to adverse selection, which can result in market failure. To mitigate this risk, some exchanges have implemented speed bumps which delay trades. Using trade and quote (TAQ) data of 45 stocks on the NYSE American and the NASDAQ from May 2017 to August 2017, I identify the impact of a trading delay of 350 microseconds on the probability of informed trading for the NYSE American using difference-in-differences estimation. I find a statistically significant decline in the probability of informed trading after the implementation of the speed bump on the NYSE American stock exchange.en_US
dc.description.scholarlevelGraduateen_US
dc.identifier.urihttp://hdl.handle.net/1828/15724
dc.languageEnglisheng
dc.language.isoenen_US
dc.rightsAvailable to the World Wide Weben_US
dc.subjectfinancial economicsen_US
dc.subjecteconomicsen_US
dc.subjecthigh-frequency tradingen_US
dc.subjectlatency delayen_US
dc.subjectmicroeconomicsen_US
dc.subjectmarket microstructureen_US
dc.subjectdifference-in-differencesen_US
dc.subjectNYSE Americanen_US
dc.subjectequity marketsen_US
dc.subjectlatencyen_US
dc.subjectNASDAQen_US
dc.subjectfinancial marketsen_US
dc.subjectapplied microeconomicsen_US
dc.titleThe Effect of NYSE American’s Latency Delay on Informed Tradingen_US
dc.typeThesisen_US

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