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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Main Author: Tanyag, John Paul S.
Format: text
Language:English
Published: 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
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spelling oai:animorepository.dlsu.edu.ph:etdm_finman-10002021-07-08T06:45:56Z Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility Tanyag, John Paul S. 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. 2021-02-01T08:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etdm_finman/2 https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1000&context=etdm_finman Financial Management Master's Theses English Animo Repository Stocks—Prices Liquidity (Economics) Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stocks—Prices
Liquidity (Economics)
Finance and Financial Management
spellingShingle Stocks—Prices
Liquidity (Economics)
Finance and Financial Management
Tanyag, John Paul S.
Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
description 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.
format text
author Tanyag, John Paul S.
author_facet Tanyag, John Paul S.
author_sort Tanyag, John Paul S.
title Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
title_short Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
title_full Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
title_fullStr Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
title_full_unstemmed Understanding the detection of high frequency trading in the Philippine setting: Analyzing the effect of price liquidity and price volatility
title_sort understanding the detection of high frequency trading in the philippine setting: analyzing the effect of price liquidity and price volatility
publisher Animo Repository
publishDate 2021
url 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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