Securities trading underwent a major transformation within the last decade. This transformation was mainly driven by the regulatory induced fragmentation and by the increase of high-frequency trading (HFT). On the basis of the electronic market hypothesis, which poses that coordination costs decline when markets become automated, and the efficient market hypothesis in its semi-strong form, we study the effect of HFT on market efficiency in the European fragmented market landscape. In doing so, we further incorporate the realm of financialization, which criticizes the increase in transaction speed. By conducting a long-term analysis of CAC 40 securities, we find that HFT increases market efficiency by leveling midpoints between Euronext Paris and Bats Chi-X Europe. On the basis of a cross-country event study, we analyze the effect of the German HFT Act. We observe that the midpoint dispersion of blue chip securities between the two leading venues Deutsche Boerse and Bats Chi-X Europe increased. We conclude that HFT increases market efficiency in the European market landscape by transmitting information between distant markets.

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高频交易及其在分散市场中的作用

证券交易在过去十年中经历了重大转变。这种转变主要是由监管引发的碎片化和高频交易（HFT）的增加推动的。基于电子市场假说（即市场自动化时协调成本下降）和半强形式的有效市场假说，我们研究了高频交易对欧洲碎片化市场格局中市场效率的影响。在这样做的过程中，我们进一步纳入了金融化领域，该领域批评了交易速度的提高。通过对 CAC 40 证券进行长期分析，我们发现高频交易通过平衡巴黎泛欧交易所和 Bats Chi-X Europe 之间的中点来提高市场效率。在一项跨国事件研究的基础上，我们分析了德国高频交易法的影响。我们观察到，德意志交易所和 Bats Chi-X Europe 两大交易所之间蓝筹证券的中点离差增加。我们得出结论，高频交易通过在远程市场之间传输信息来提高欧洲市场格局中的市场效率。