TY - JOUR
T1 - The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia
AU - Riyanto, Agus
AU - Sriyana, Jaka
AU - Arifin, Zaenal
AU - Sutrisno,
N1 - Publisher Copyright:
© 2024 Conscientia Beam. All Rights Reserved.
PY - 2024/1/30
Y1 - 2024/1/30
N2 - 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.
AB - 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.
KW - High-frequency trading
KW - Influence
KW - LQ-45
KW - Market quality
KW - Tick prices
UR - http://www.scopus.com/inward/record.url?scp=85198756034&partnerID=8YFLogxK
U2 - 10.18488/11.v13i2.3715
DO - 10.18488/11.v13i2.3715
M3 - Article
AN - SCOPUS:85198756034
SN - 2306-9856
VL - 13
SP - 351
EP - 363
JO - International Journal of Management and Sustainability
JF - International Journal of Management and Sustainability
IS - 2
ER -