Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
Strong macroeconomic fundamentals, growing interest in investing, simultaneous whole day trading with market peers, and the continuous advancements and upgrades of trading systems – these are the indicators of how the Philippine stock market had expanded. With the technology playing a bigger role in...
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| Format: | text |
| Language: | English |
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Animo Repository
2021
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| Online Access: | https://animorepository.dlsu.edu.ph/etdm_finman/2 https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1000&context=etdm_finman |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Strong macroeconomic fundamentals, growing interest in investing, simultaneous whole day trading with market peers, and the continuous advancements and upgrades of trading systems – these are the indicators of how the Philippine stock market had expanded. With the technology playing a bigger role in such expansion, new forms of trading such as high-frequency trading (HFT) are studied and analyzed by both regulators and investors. This study examines the effects of price liquidity and price volatility based on the detected HFT at the Philippine stock market. Using the thirty constituent companies at the Philippine Stock Exchange Index (PSEI) on four different trading days, the researcher examined each whole trading day for the detection of HFT and the computation of measures of price liquidity and price volatility. The panel data analysis revealed a significant relationship between price liquidity and HFT. The study recommends the development of HFT regulations in the Philippines as HFT may have positive and negative effects concerning increase in liquidity and risk for manipulative activity, respectively. Strengthening equal access to information will ensure that everyone is either on an equal playing field or guided by regulation accordingly. |
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