Date of Publication

2-2021

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Michael Munsayac

Defense Panel Chair

Ricarte Pinlac

Defense Panel Member

Janessa Tan
Rene Cuartero

Abstract/Summary

Strong macroeconomic fundamentals, growing interest in investing, simultaneous whole day trading with market peers, and the continuous advancements and upgrades of trading systems – these are the indicators of how the Philippine stock market had expanded. With the technology playing a bigger role in such expansion, new forms of trading such as high-frequency trading (HFT) are studied and analyzed by both regulators and investors. This study examines the effects of price liquidity and price volatility based on the detected HFT at the Philippine stock market. Using the thirty constituent companies at the Philippine Stock Exchange Index (PSEI) on four different trading days, the researcher examined each whole trading day for the detection of HFT and the computation of measures of price liquidity and price volatility. The panel data analysis revealed a significant relationship between price liquidity and HFT. The study recommends the development of HFT regulations in the Philippines as HFT may have positive and negative effects concerning increase in liquidity and risk for manipulative activity, respectively. Strengthening equal access to information will ensure that everyone is either on an equal playing field or guided by regulation accordingly.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stocks—Prices; Information storage and retrieval systems—Stock exchanges

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Embargo Period

8-10-2022

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