Does electronic trading influence stock prices? The Indian experience. Issue 18 (23rd October 2020)

• Record Type: Journal Article
• Authors: Madhavan, Vinodh; Mukhopadhyay, Ishita; Ray, Partha
• Is Part Of: Applied economics letters. Volume 27:Issue 18(2020)
• Page Start: 1459
• Page End: 1462
• Publication Date: 2020-10-23
• Subjects: Electronic trading -- India -- stock prices -- nonlinearity; G14 -- C51; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2019.1690121
• Languages: English
• ISSNs: 1350-4851

Abstract

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.