EFFECT OF HIGH-FREQUENT TRADING (HFT) OF STOCK LIQUIDATION

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ASKARI MONA; RAHNAMAY ROODPOSHTI F.; ABDOLVAND MOHAMMAD ALI

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:8 | Issue:28 Page(s): 1-26

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Title

EFFECT OF HIGH-FREQUENT TRADING (HFT) OF STOCK LIQUIDATION

Author(s)

ASKARI MONA | RAHNAMAY ROODPOSHTI F. | ABDOLVAND MOHAMMAD ALI | Issue Writer Certificate

Keywords

HIGH-FREQUENT TRADING (HFT)Q3

ONLINE TRADINGQ3

LIQUIDATIONQ3

NUMBER OF TRADESQ3

NUMBER OF BUYERSQ3

NUMBER OF TRADED STOCKSQ3

NUMBER OF TRADING DAYSQ3

VALUE OF TRADED STOCKSQ3

Abstract

One of the major functions of exchange is to enhance stock LIQUIDATION. If stock market is not cash and liquid, it will not encourage investment. On the other hand, stock market has intensely been affected by the development of advanced computer technologies, which has caused a large volume of trades to conduct online.The present research analyzes the trades conducted in Tehran Stock Exchange from the viewpoint of high-frequent trading (HFT). It also discusses the effect of such trades on market LIQUIDATION.Based on this, it studies five major and influential factors on LIQUIDATION power, including NUMBER OF TRADES, NUMBER OF BUYERS, number of the traded stocks, NUMBER OF TRADING DAYS and value of the stocks traded in Tehran Stock Exchange between 21 Mars 2011 and 22 September 2012. Correlations between these factors and the variable of the HFTs were tested through multivariate regression and SPSS.According to the results, there is a positive and significant relationship among the HFTs with 3 variables including NUMBER OF TRADES, NUMBER OF BUYERS and NUMBER OF TRADING DAYS at confidence level of 95%. Therefore, HFTs are effective in LIQUIDATION power.

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APA: Copy

ASKARI, MONA, RAHNAMAY ROODPOSHTI, F., & ABDOLVAND, MOHAMMAD ALI. (2016). EFFECT OF HIGH-FREQUENT TRADING (HFT) OF STOCK LIQUIDATION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 8(28), 1-26. SID. https://sid.ir/paper/200217/en

Vancouver: Copy

ASKARI MONA, RAHNAMAY ROODPOSHTI F., ABDOLVAND MOHAMMAD ALI. EFFECT OF HIGH-FREQUENT TRADING (HFT) OF STOCK LIQUIDATION. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;8(28):1-26. Available from: https://sid.ir/paper/200217/en

IEEE: Copy

MONA ASKARI, F. RAHNAMAY ROODPOSHTI, and MOHAMMAD ALI ABDOLVAND, “EFFECT OF HIGH-FREQUENT TRADING (HFT) OF STOCK LIQUIDATION,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 8, no. 28, pp. 1–26, 2016, [Online]. Available: https://sid.ir/paper/200217/en

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