Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market
利用中国商品期货市场的逐笔交易数据，比较机构与个人交易对日内价格过程的影响，发现机构交易仅在毫秒级集中交易时促进价格发现，而市场整体被暂时性波动主导。
We compare the effects of institutional and individual trading on intraday price processes in the emerging commodity futures market of China with a unique trade‐by‐trade dataset. Institutional investors collectively facilitate price discovery with positive permanent price impacts, but their beneficial role is time agglomerated, that is, only institutional highly‐concentrated trades executed at the same millisecond are accompanied by information effects. Transitory price disturbances are mitigated by informed institutional highly‐concentrated trading in the agricultural sector, whereas these disturbances are alleviated by liquidity‐enhancing individual trading in the industrial sector. Overall, the entire market is abnormally dominated by transitory volatility instead of informational volatility.