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High-Frequency Traders and Liquidity Supply During the Pandemic

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their supply of liquidity in times of sustained market stress that lasted several days. The results are remarkably consistent for all size categories of stocks. These are the first direct evidence of the behavior of HFT during the pandemic.