DO HIGH-FREQUENCY TRADING AFFECT BUBBLE FORMATION IN STOCK MARKETS? EVIDENCE FROM EMERGING STOCK MARKET

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dc.contributor.authorÇelik, Mehmet Sinan
dc.date.accessioned2024-11-07T13:16:01Z
dc.date.available2024-11-07T13:16:01Z
dc.date.issued2024
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis 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.
dc.identifier.doi10.17130/ijmeb.1447114
dc.identifier.endpage686
dc.identifier.issn2147-9208
dc.identifier.issn2147-9194
dc.identifier.issue3
dc.identifier.startpage675
dc.identifier.trdizinid1268876
dc.identifier.urihttps://doi.org/10.17130/ijmeb.1447114
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1268876
dc.identifier.urihttps://hdl.handle.net/11480/11988
dc.identifier.volume20
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofUluslararası Yönetim İktisat ve İşletme Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241107
dc.subjectLiquidity
dc.subjectAlgorithmic Trading
dc.subjectHigh-Frequency Trading Volatility
dc.subjectSpeculative Bubbles
dc.titleDO HIGH-FREQUENCY TRADING AFFECT BUBBLE FORMATION IN STOCK MARKETS? EVIDENCE FROM EMERGING STOCK MARKET
dc.typeArticle

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