Academy of Marketing Studies Journal (Print ISSN: 1095-6298; Online ISSN: 1528-2678)


Effect of High Frequency Trading: A study on Market Returns of NSE India

Author(s): Anita C Raman, Sashikala Parimi and Vishal Roy

With the advances in automation and technology over past two decades there is shift in the equity trading of Financial markets. Algo and High Frequency Trades (HFT) led to liquidity and narrowed spreads in financial markets. . In this backdrop, a study is made to identify the effect of HFT on stock market returns, to examine the role of HFT in price discovery at different time level & to examine the HFT s’ influence on stock market volatility. The study includes predictive analysis of specific stock prices, using - 1 min price data, 5 min, 10 min, 15 min, 30 min price data. The results show that there is an effect of HFTs on market returns, volatility and price discovery.

Get the App