scholarly journals Determinants of price reversal in high-frequency trading: empirical evidence from Indonesia

2020 ◽  
Vol 17 (1) ◽  
pp. 175-187 ◽  
Author(s):  
Perdana Wahyu Santosa
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
High Frequency Trading ◽  
High Price ◽  
Research Approach ◽  
Price Model ◽  
Bid Ask Spread ◽  
Price Reversal ◽  
New Research

This article analyzes whether the factors of the mechanism of high-frequency trading (HFT) or intraday trading affect the process of price reversal and continuation. The price reversal phenomenon is gaining importance rapidly due to the increasingly intensive use of IT/Fintech-based trading automation facilities on the Indonesia Stock Exchange. However, one knows little about how their trading affects volatility and liquidity pressures that cause price reversals. A new research approach uses the factors of market microstructure mechanism based on high-frequency data (HFD-intraday). The research method uses purposive random sampling, which classified price fractions into three groups, specifically low price, medium price, and high price, which are analyzed by logistic panel regression. The research variables used include price reversal (dependent), stock return, trading volume, transaction frequency, volume/frequency (V/F) proxy, volatility, and liquidity. According to low price model research findings, all variables show a significant effect on price reversal; for medium price model, all variables except liquidity show a significant effect on price reversal; and for high price model, all variables have a significant effect on price reversal, except trading volume and volatility. In conclusion, low price shares tend to have higher price reversal probability compared to continuity because they tend to be liquid, low institutional ownership, and minimal reporting/analysis and are controlled by HFTs (uninformed traders). Some variables are not significant because of the bounce effect around the bid-ask spread. AcknowledgmentMany thanks to Armida S. Alisjahbana, Roy H. Sembel, Budiono, Rahardi S. Rahmanto, and the anonymous referee/reviewer for valuable inputs and feedback.

Statistical characteristics of price impact in high-frequency trading

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Can Jia ◽  
Tianmin Zhou ◽  
Handong Li
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Price Change ◽  
Price Impact ◽  
High Frequency Trading ◽  
Statistical Characteristics ◽  
Long Term Memory ◽  
Time Interval ◽  
Trade Volume

AbstractTrading volume changes based on market microstructure will impact asset prices, which will lead to transaction price changes. Based on the extended Hasbrouck–Foster–Viswanathan (HFV) model, we study the statistical characteristics of daily permanent price impact and daily temporary price impact using high-frequency data from Chinese Stock Markets. We estimate this model using tick-by-tick data for 16 selected stocks that are traded on the Shanghai Stock Exchange. We find the following: (1) the time series of both the permanent price impact and temporary price impact exist in stationarity and long-term memory; (2) there is a strong correlation between the permanent price impact among assets, while the correlation coefficient of the temporary price impact is generally weak; (3) the time interval has no significant influence on the trade volume and the price change at the tick frequency, which means that it is not necessary to take into account the time interval between adjacent transaction in high-frequency trading; and (4) the bid-ask spread is an effective factor to explain trading price change, but has no significant impact on trade volume.

scholarly journals PENGARUH UKURAN PERUSAHAAN, BID ASK SPREAD, DAN VOLUME PERDAGANGAN TERHADAP PRICE REVERSAL

Performance ◽  
2017 ◽  
Vol 24 (1) ◽  
pp. 46
Author(s):  
Flora Sianipar
Keyword(s):  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Regression Testing ◽  
Coefficient Of Determination ◽  
Size Factor ◽  
Purposive Sampling ◽  
Bid Ask Spread ◽  
Price Reversal ◽  
The Relationship

“Pengaruh Ukuran Perusahaan, Bid Ask Spread, dan Volume Perdagangan Terhadap Price Reversal”is a research that purpose to analyze the factors that affect Price Reversal on companies listed in the Index LQ45 period November 8 - November 16, 2016. This research is an associative study to determine the relationship or influence between two or more variables.             The population that used in this study are all companies listed in the Indonesia Stock Exchange during the study period. The method of collecting data using purposive sampling. Data that obtained from purposive sampling method is 44 companies. Analyze method which used in this research are multiple linear regression. Testing the hypothesis by using the adjusted coefficient of determination, t-statistic test and f-statistic test.             The result of this research shows that firm size has positive and significant effect to Price Reversal, Bid Ask Spread has positive and significant effect to Price Reversal, and Trading Volume has positive and significant impact to Price Reversal.             The implications of the above conclusions are that investors can pay attention to the firm's size factor, bid ask spread and trading volume as a basic for consideration to trade on the exchange to get the best return in accordance with the compensation of the risk that they received.

scholarly journals Quantifying the High-Frequency Trading “Arms Race”

2021 ◽  
Author(s):  
Matteo Aquilina ◽  
Eric Budish ◽  
Peter O’Neill
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Limit Order Book ◽  
Price Impact ◽  
High Frequency Trading ◽  
Order Book ◽  
Limit Order ◽  
The Cost ◽  
Latency Arbitrage

Abstract We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as “latency arbitrage.” The key difference between message data and widely familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the researcher to observe both winners and losers in a race, whereas in limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency arbitrage races are very frequent (about one per minute per symbol for FTSE 100 stocks), extremely fast (the modal race lasts 5–10 millionths of a second), and account for a remarkably large portion of overall trading volume (about 20%). Race participation is concentrated, with the top six firms accounting for over 80% of all race wins and losses. The average race is worth just a small amount (about half a price tick), but because of the large volumes the stakes add up. Our main estimates suggest that races constitute roughly one-third of price impact and the effective spread (key microstructure measures of the cost of liquidity), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency arbitrage would reduce the market’s cost of liquidity by 17%, and that the total sums at stake are on the order of $5 billion per year in global equity markets alone.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

scholarly journals High-Frequency Trading Competition

2018 ◽  
Vol 54 (4) ◽  
pp. 1469-1497 ◽  
Author(s):  
Jonathan Brogaard ◽  
Corey Garriott
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Market Liquidity ◽  
High Frequency Trading ◽  
Toronto Stock Exchange ◽  
Bid Ask Spreads

Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFTs over 4 years. We find that bid–ask spreads on Alpha converge to those at the Toronto Stock Exchange as more HFTs trade on Alpha. Effective and realized spreads for non-HFTs improve as HFTs enter the market. To explain the contrast with theory, which models the HFT as a price competitor, we provide evidence more consistent with HFTs fitting a quantity-competitor framework.

Transitory Price Changes in the Chinese Stock Markets

2007 ◽  
Vol 10 (04) ◽  
pp. 519-540 ◽  
Author(s):  
Zhaohui Zhang ◽  
Howard Nemiroff ◽  
Jiamin Wang ◽  
Khondkar Karim
Keyword(s):  
New York ◽  
Stock Markets ◽  
Trading Volume ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Price Limits ◽  
Price Reversal ◽  
York Stock Exchange ◽  
Chinese Stock Markets ◽  
Opening And Closing

This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.

scholarly journals Pengaruh Harga Saham, Volume Perdagangan, dan Varian Return Terhadap Bid-Ask Spread (Studi Empiris pada Perusahaan yang Melakukan Stock Split yang Terdaftar di Bursa Efek di Asia Tenggara Tahun 2018)

2019 ◽  
Vol 7 (1) ◽  
pp. 1397
Author(s):  
Doni Kurniawan ◽  
Mayar Afriyenti
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
The Philippines ◽  
Process Data ◽  
Significant Negative Effect ◽  
Insignificant Effect ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Negative Effect

This study aims to determine the effect of stock prices, trading volume, and variance of return on the bid-ask spread in companies that do stock splits listed on stock exchanges in Southeast Asia in 2018. In this study the sampling technique used was nonprobability purposive sampling so that produced a total of 248 companies with 26 companies on the Indonesia Stock Exchange, 10 companies on the Philippines Stock Exchange, 56 companies on the Malaysia Stock Exchange, 18 companies on the Singapore Stock Exchange, 48 companies on the Thailand Stock Exchange and 90 companies on the Vietnam Stock Exchange. This study uses multiple regression methods using Eviews 10 to process data. The results of the study indicate that on the Indonesia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume has no significant negative effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Philippine Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has a positive and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Malaysia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Singapore Stock Exchange, stock prices and trading volume have a negative and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Thailand Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Vietnam Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has no significant positive effect on the bid-ask spread, variance returns have a positive and significant effect on the bid-ask spread.Keywords: Stock Price, Trading Volume, Variant Return, Bid-Ask Spread, Stock Split

scholarly journals PENGARUH VOLUME PERDAGANGAN SAHAM DAN HARGA SAHAM TERHADAP BID-ASK SPREAD STUDI PADA PERUSAHAAN-PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

2017 ◽  
pp. 62-74
Author(s):  
Ruminsar Nainggolan ◽  
Donalson Silalahi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Multiple Regression Equation ◽  
Manufacturing Companies ◽  
Stock Trading ◽  
Bid Ask Spread ◽  
Bid Ask Spreads

ABSTRACT The purpose of this study is to determine the effect of stock trading volume and stock prices on bid-ask spreads on manufacturing companies listed on the Indonesia Stock Exchange. The population in research is 155 companies and by using purposive sampling as sampling technique, then the sample in this research is 46 company. The data used are secondary data and use multiple regression equation as an analytical tool. Based on the results of the research it can be argued that, trading volume and stock prices have a negative and significant effect on the bid-ask spread both before and after the data grouping. The results also show that stock trading in Indonesia Stock Exchange is liquid. Investors or potential investors who want to invest in the capital market should make trading volume and stock price as a reference in making investment decisions, because simultaneously these two variables have a significant effect on bid-ask spreads.

scholarly journals PENGARUH DER DAN RISIKO SISTEMATIS TERHADAP RETURN SAHAM PERUSAHAAN FARMASI YANG TERDAFTAR DI BEI

2020 ◽  
Vol 6 (1) ◽  
pp. Press
Author(s):  
Muhammad Nur Mufid
Keyword(s):  
Stock Returns ◽  
Financial Reporting ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Sampling Technique ◽  
High Price ◽  
Price Model ◽  
Purposive Sampling ◽  
Equity Ratio

Abstrak            Riset ini merupakan penelitian empiris terhadap factor yang mempengaruhi return saham. Objek penelitian ini adalah perusahaan farmasi yang terdaftar di Bursa Efek Indonesia (BEI) dengan periode laporan keuangan tahun 2014-20017. Return saham dihitung dari persentase perubahan harga saham penutupan setiap akhir tahun. Faktor yang diduga mempengaruhi return saham pada penelitian ini adalah rasio hutang (debt to equity ratio) dan tingkat risiko yang diukur dengan beta saham berdasarkan teori capital assest pricing model (CAPM). Teknik pengambilan sampel yang digunakan adalah teknik purposive sampling dimana jumlah sampel yang diperoleh dalam penelitian ini adalah 8 sampel. Data yang digunakan dalam penelitian ini adalah data sekunder. Metode pengujian yang digunakan dalam penelitian ini adalah metode analisis regresi berganda dengan program SPSS dan uji asumsi klasik. Hasil penelitian menunjukkan, bahwa rasio hutang (DER) tidak memberikan pengaruh terhadap return saham , sedangkan risiko sistematis (BETA) memberikan pengaruh signifikan terhadap return saham.Kata kunci: return saham, debt to equity ratio, risiko sistematis Abstract               This research is an empirical study of the factors that influence stock returns. The object of this research is companies listed on the Indonesia Stock Exchange (IDX) with the financial reporting period of 2014-20017. Returns shares of high-price securities at the end of each year. The factors that influence returns are the debt to equity ratio and the level that uses the capital capital price model (CAPM). The sampling technique used was purposive sampling technique where the number of samples obtained in this study were 8 samples. The data used in this research is secondary data. The method used in this study is the method of multiple regression analysis with the SPSS program and the classic assumption test. The results showed that the debt ratio (DER) had no effect on stock returns, while systematic risk (BETA) had a significant effect on stock returns. Keywords: stock returns, debt to equity ratio, systematic risk

scholarly journals Analisis Perbandingan Abnormal Return,Trading Volume Activity, dan Bid-Ask Spread Sebelum dan Sesudah Stock Split

2018 ◽  
Vol 7 (1) ◽  
pp. 34
Author(s):  
Fahrizal Anwar ◽  
Nadia Asandimitra
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Before And After ◽  
Bid Ask Spreads

Stock splits or stock split is to break a piece of stock into n shares so that the new price per share after the stock split is 1 / n of the previous price.This study aims to investigate the market reaction to the announcement of the stock split the company listed in Indonesia Stock Exchange Period 2012-2013. The market reaction is indicated by the presence or absence of abnormal return differences, trading volume activity, and bid-ask spreads before and after the stock split announcement.Type of research is a study of events (event study).The study sample as many as 17 companies based on purposive sampling.Testing is done with a period of 5 days before and 5 after the announcement of the stock split.The technique of data analysis performed using paired sample t-test on abnormal returns while Wilcoxon signed ranks test on trading volume activity and bid-ask spreads.

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