Impact of High Frequency Trading on Equity Market with Reference to NSE India
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TextSeries: Indian Journal of Finance ; Vol 14 (1)Description: 58-77 pSubject(s):
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GILANI,S. INDIAN JOURNAL OF FINANCESummary: .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.
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Main Library | Vol 14, Issue 1/ 55511434JA4 (Browse shelf(Opens below)) | Available | 55511434JA4 | |||||
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Main Library On Display | JRNL/FIN/Vol 14, Issue 1/55511434 (Browse shelf(Opens below)) | Vol 14, Issue 1 (01/01/2020) | Not for loan | January, 2020 | 55511434 |
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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.
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