Indian Journal of Finance

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Impact of High Frequency Trading on Equity Market with Reference to NSE India


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1 Department of Master of Business Administration, CMR College of Engineering & Technology, Medchal Road, Hyderabad, Telangana, India

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.The study focused on the high-frequency trading impact on the stock market. The study considered the 1 minute, 5 minutes, 10 minutes, 15 minutes, 30 minutes, and 1 hour time periods. The study considered the historical time-series data from NSE India for the period of three months, that is, April-June 2019. The ARCH method was applied with the GARCH, and the results indicated that the Nifty volatility had a significant impact on the Bank Nifty volatility. The ordinary least square method results indicated that the Nifty 1 minute had a greater effect than the other time periods on the Bank Nifty.

Keywords

High Frequency Trading, Price Volatility, Financial Markets, Equity Market.
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  • Baldauf, M., & Mollner, J. (2018) High frequency trading competition. Journal of Financial and Quantitative Analysis, 54(4), 1469–1497.

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  • Tong, L. (2015). A blessing or a curse ? The impact of high frequency trading on institutional investors (Working Paper).Retrieved from https://pdfs.semanticscholar.org/42a0/744ba16baf8a263e92117861231217447610.pdf


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  • Impact of High Frequency Trading on Equity Market with Reference to NSE India

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Authors

A. Kotishwar
Department of Master of Business Administration, CMR College of Engineering & Technology, Medchal Road, Hyderabad, Telangana, India

Abstract


.The study focused on the high-frequency trading impact on the stock market. The study considered the 1 minute, 5 minutes, 10 minutes, 15 minutes, 30 minutes, and 1 hour time periods. The study considered the historical time-series data from NSE India for the period of three months, that is, April-June 2019. The ARCH method was applied with the GARCH, and the results indicated that the Nifty volatility had a significant impact on the Bank Nifty volatility. The ordinary least square method results indicated that the Nifty 1 minute had a greater effect than the other time periods on the Bank Nifty.

Keywords


High Frequency Trading, Price Volatility, Financial Markets, Equity Market.

References





DOI: https://doi.org/10.17010/ijf%2F2020%2Fv14i1%2F149858