Effect of High-frequent trading (HFT) of Stock liquidation

Subject Areas : Financial Knowledge of Securities Analysis

Mona Askari ¹ (دانشجوی دوره کارشناسی ارشد رشته مدیریت بازرگانی مالی، دانشگاه آزاد اسلامی واحد علوم و تحقیقات)
ferydoon Rahnamay Roodposhti ² (استاد وعضو هیات علمی دانشگاه آزاد اسلامی واحد علوم و تحقیقات)
M. Ali Abdolvand ³ (استادیار و عضو هیات علمی دانشگاه آزاد اسلامی واحد علوم و تحقیقات)

Received: 2014-08-29 Accepted : 2015-01-10 Published : 2015-12-22

Keywords: high-frequent trading (HFT), online trading, liquidation, number of trades, number of buyers, number of traded stocks, number of trading days, value of traded stocks,

Abstract :

One of the major functions of exchange is to enhance stock liquidation. If stock market is not cash and liquid, it will not encourage investment. On the other hand, stock market has intensely been affected by the development of advanced computer technologies, which has caused a large volume of trades to conduct online.The present research analyzes the trades conducted in Tehran Stock Exchange from the viewpoint of high-frequent trading (HFT). It also discusses the effect of such trades on market liquidation.Based on this, it studies five major and influential factors on liquidation power, including number of trades, number of buyers, number of the traded stocks, number of trading days and value of the stocks traded in Tehran Stock Exchange between 21 Mars 2011 and 22 September 2012. Correlations between these factors and the variable of the HFTs were tested through multivariate regression and SPSS.According to the results, there is a positive and significant relationship among the HFTs with 3 variables including number of trades, number of buyers and number of trading days at confidence level of 95%. Therefore, HFTs are effective in liquidation power.