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

Authors

  •   A. Kotishwar Professor and Head, Department of Master of Business Administration, CMR College of Engineering & Technology, Medchal Road, Hyderabad, Telangana

DOI:

https://doi.org/10.17010/ijf/2020/v14i1/149858

Keywords:

High Frequency Trading

, Price Volatility, Financial Markets, Equity Market.

JEL Classification Codes

, D53, G20, G14, L1.

Paper Submission Date

, August 30, 2019, Paper Sent Back for Revision, December 16, Paper Acceptance Date, December 22, 2019.

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.

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Author Biography

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

https://orcid.org/0000-0002-8027-3417

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Published

2020-01-31

How to Cite

Kotishwar, A. (2020). Impact of High Frequency Trading on Equity Market with Reference to NSE India. Indian Journal of Finance, 14(1), 58–76. https://doi.org/10.17010/ijf/2020/v14i1/149858

Issue

Volume 14, Issue 1, January 2020

Section

Articles
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Scopus
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Europe PMC

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