Empirical Significance of Movements in Stock Trading Platforms in NSE Market Structure

Janani Ravinagarajan; Sharon Sophia

doi:10.47654/v26y2022i3p99-122

Authors

Janani Ravinagarajan Vellore Institute of Technology, Kelambakkam, Chennai Author
Sharon Sophia Vellore Institute of Technology, Kelambakkam, Chennai Corresponding Author

DOI:

https://doi.org/10.47654/v26y2022i3p99-122

Keywords:

Volume of Trade, Returns, Volatility, Trading Platforms, Conditional Volatility, GARCH

Abstract

Information is the game-changer in the stock market environment. The distinction in terms of access to trade information (colocation, high frequency, direct market access, and smart order routing trades), machine interfered decisions making (Algorithmic-trades), and conventional trades (non-algorithmic trades) with or without mobile/internet connectivity defines market microstructure in a new perspective. The study evaluates movements along with price and volatility to understand the significance of trading movements in each platform. The study provides evidence that non-algorithmic trades are independent of market return and volatility while colocation trades are asymmetric. The GARCH framework identifies that colocation, internet, and algorithmic platforms explain volatility persistence for the study period. The study concludes that the trade movement of a specific platform acts as a proxy for information flow to identify signals for trade decisions by the traders of other platforms.

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