The effect of technological developments on the stock market: evidence from emerging market

ABSTRACT

This study investigates the effect of High-Frequency Trading on stock liquidity and volatility in Borsa Istanbul, Turkey which is one of the largest emerging markets where high-frequency trading is newly developed. We employ a fixed effect panel estimation model with Driscoll and Kraay correction between January 2016 and December 2020. The finding shows that an increase in high-frequency trading increases the liquidity and volatility. Moreover, the results are similar before the pandemic period and rising market period, whereas the impact of high-frequency trading on liquidity disappears during the pandemic period.

KEYWORDS:

• High-frequency trading
• liquidity
• volatility
• Borsa Istanbul

JEL CLASSIFICATION:

• G10
• G12

Disclosure statement

The authors report no declaration of competing interest.

Additional information

Funding

This research receives Graduate Thesis Project Grant from Nigde Omer Halisdemir University under the Grant number of SBT 2022/3-LUTEP.