DO HIGH-FREQUENCY TRADING AFFECT BUBBLE FORMATION IN STOCK MARKETS? EVIDENCE FROM EMERGING STOCK MARKET
Küçük Resim Yok
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study examines the factors affecting bubble formation in the Turkish stock market Borsa Istanbul (BIST), an important emerging market where high-frequency trading (HFT) is a relatively new phenomenon. HFT refers to trades executed using fast algorithms and has become an essential dynamic of financial markets today. The study uses intraday and daily stock price data between 11 March 2020 and 31 December 2020. The data are obtained from Borsa Istanbul and HFT activities are identified with ‘intraday order’ data. The existence of speculative bubbles is tested using Supremum Augmented Dickey-Fuller (SADF) and Generalised Sup Augmented Dickey-Fuller (GSADF) models. The study finds that HFT transactions play an important role in bubble formation. With their high trading volumes and fast trading capabilities, HFT trades can create excessive volatility and manipulation in the market. This may increase the risk of bubble formation. The study emphasises the importance of regulation and supervision in mitigating HFT effects in financial markets. Regulations aimed at increasing transparency in the market can help investors make more informed decisions.
Açıklama
Anahtar Kelimeler
Liquidity, Algorithmic Trading, High-Frequency Trading Volatility, Speculative Bubbles
Kaynak
Uluslararası Yönetim İktisat ve İşletme Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
20
Sayı
3
