Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/877
Title: Does electronic trading influence stock prices? The Indian experience
Authors: Madhavan, Vinodh
Mukhopadhyay, Ishita
Ray, Partha
Keywords: Electronic trading
India
nonlinearity
stock prices
Issue Date: 2020
Publisher: SCOPUS
Applied Economics Letters
Routledge
Series/Report no.: 27(18)
Abstract: We study the impact of electronic trading in India via two distinct approaches. First, in a more traditional way, we model the data generating process (DGP) of share price index for different trading regimes using an AR-GARCH filter. Our results indicate regime-invariant nature of the DGP. Subsequently, we employ rolling Hinich Bicorrelation test to AR-GARCH-filtered standardized residuals to examine the degree of efficiency of Indian share price index across trading regimes. Our results indicate a distinct improvement in informational efficiency of Indian share price index pursuant to adoption of electronic trading systems.
Description: Vinodh Madhavan, Amrut Mody School of Management, Ahmedabad University, Ahmedabad, India; Ishita Mukhopadhyay, Department of Economics, University of Calcutta, Kolkata, India; Partha Ray, Economics Group, Indian Institute of Management Calcutta, Kolkata, India
ISSN/ISBN - 13504851
pp.1459-1462
DOI - 10.1080/13504851.2019.1690121
URI: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85074970947&doi=10.1080%2f13504851.2019.1690121&partnerID=40&md5=7901b62b654556171a9c550d2335ce39
https://ir.iimcal.ac.in:8443/jspui/handle/123456789/877
Appears in Collections:Economics

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