The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

Agus Riyanto, J. Sriyana, Zaenal Arifin, Sutrisno
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Abstract

This research aims to determine the influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia. This study employs a quantitative approach. This study employed the Fixed Effect, Random Effect and Common Effect. The research data source used secondary data, with 37 stocks identified that met the criteria for High-Frequency Trading (HFT). The data analysis technique utilized panel data method. Three findings were revealed in the results of this research: first, it demonstrates a significant impact of tick price on High-Frequency Trading (HFT) activity; second, it reveals a positive influence of HFT on market quality, as evidenced by the metrics of spread, volatility, and risk-adjusted return. HFT activity in this research substantiates a positive impact on market quality, measured through spread, volatility, and risk-adjusted return. However, when assessing market quality based on liquidity, the research indicated that HFT volume and trades exert a noteworthy impact on diminishing market liquidity; and third, High-Frequency Trading (HFT) generally exhibits a notable impact on reducing spreads, even though its strength is not conclusively proven in the HFT volume test. The practical implications of this research offer insights into the positive impact of tick prices on the escalation of High-Frequency Trading (HFT) activity.
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印尼 LQ-45 高频交易的股票价格对市场质量的影响
本研究旨在确定高频交易的股票价格对印度尼西亚 LQ-45 市场质量的影响。本研究采用定量方法。本研究采用了固定效应、随机效应和共同效应。研究数据来源采用二级数据,确定了 37 只符合高频交易(HFT)标准的股票。数据分析技术采用了面板数据法。研究结果显示了三项发现:第一,股票价格对高频交易(HFT)活动有显著影响;第二,从价差、波动率和风险调整收益率等指标来看,HFT 对市场质量有积极影响。本研究中的 HFT 活动证实了其对市场质量的积极影响,其衡量标准包括价差、波动率和风险调整回报率。然而,在根据流动性评估市场质量时,研究表明,高频交易量和交易对降低市场流动性有显著影响;第三,高频交易(HFT)总体上对降低价差有显著影响,尽管其优势在高频交易量测试中并未得到确证。这项研究的实际意义在于深入探讨股票价格对高频交易(HFT)活动升级的积极影响。
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来源期刊
International Journal of Management and Sustainability
International Journal of Management and Sustainability Business, Management and Accounting-Business, Management and Accounting (all)
CiteScore
1.70
自引率
0.00%
发文量
15
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