IDEAS home Printed from https://ideas.repec.org/a/pkp/ijomas/v13y2024i2p351-363id3715.html
   My bibliography  Save this article

The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

Author

Listed:
  • Agus Riyanto
  • Jaka Sriyana
  • Zaenal Arifin
  • Sutrisno

Abstract

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.

Suggested Citation

  • Agus Riyanto & Jaka Sriyana & Zaenal Arifin & Sutrisno, 2024. "The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia," International Journal of Management and Sustainability, Conscientia Beam, vol. 13(2), pages 351-363.
    • Handle: RePEc:pkp:ijomas:v:13:y:2024:i:2:p:351-363:id:3715
    as

    Download full text from publisher

    File URL: https://archive.conscientiabeam.com/index.php/11/article/view/3715/8081
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pkp:ijomas:v:13:y:2024:i:2:p:351-363:id:3715. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dim Michael (email available below). General contact details of provider: https://archive.conscientiabeam.com/index.php/11/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.