国际清算银行-速度溢价：高频交易和资本成本（英）

BIS Working Papers No 1290 The speed premium: high-frequency trading and the cost of capital by Matteo Aquilina, Gbenga Ibikunle, Khaladdin Rzayev and Xuesi Wang Monetary and Economic Department September 2025 JEL classification: G12, G14, G15 Keywords: High-frequency trading, cost of capital, financial innovation, liquidity, systematic risk BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) THE SPEED PREMIUM: HIGH FREQUENCY TRADING AND THE COST OF CAPITAL Matteo Aquilina, a Gbenga Ibikunle, b,c Khaladdin Rzayev b,d,e, Xuesi Wang b* a Bank for International Settlements, Switzerland b The University of Edinburgh, United Kingdom c RoZetta Institute, Sydney, Australia d Koç University, Turkey e Systemic Risk Centre, The London School of Economics, United Kingdom ABSTRACT When trading in financial markets reaches light speed, does the real economy slow down? Using co-location and latency improvement upgrades at NASDAQ as natural experiments, we find that, on average, high frequency trading (HFT) leads to higher cost of capital. However, the impact is not uniform. HFT raises the cost of capital for low-beta stocks by amplifying their systematic risk, as HFT’s correlated trading strategies make these stocks more responsive to market-wide information. For the most liquid stocks, HFT reduces the cost of capital by lowering the liquidity premium required by investors. A complementary test using data from the unfragmented Hong Kong market shows that these causal effects are not due to market fragmentation and persist across countries and market structures. Our results demonstrate that HFT’s real economic effects are heterogeneous across stock characteristics, with important implications for financial market regulation and policy design. JEL Classification: G12; G14; G15 Keywords: high frequency trading; cost of capital; financial innovation; liquidity; systematic risk Date: August 14, 2025. * Matteo Aquilina (matteo.aquilina@bis.org), Gbenga Ibikunle (Gbenga.Ibikunle@ed.ac.uk), Khaladdin Rzayev (khaladdin.rzayev@ed.ac.uk), Xuesi Wang (X.Wang-344@sms.ed.ac.uk). 2 1. INTRODUCTION Technology has fundamentally transformed financial markets over the past two decades, with high-frequency trading (HFT) a dominant force. High-frequency traders (HFTs) invest substantial resources to gain microsecond advantages in market access, fundame