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Algorithmic trading and the liquidity of the JSE
Dissertation (MBA)--University of Pretoria, 2013.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613584354181120 |
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| access_status_str | Open Access |
| author2 | Miller, Craig |
| author_browse | Miller, Craig |
| author_facet | Miller, Craig |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/41975 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:28.311Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/41975 Algorithmic trading and the liquidity of the JSE Miller, Craig ichelp@gibs.co.za Zito, Fabio Antonio UCTD Algorithms Liquidity -- JSE Dissertation (MBA)--University of Pretoria, 2013. This study investigates the relationship between algorithmic trading and a change in market structure. Furthermore, the study aims to determine if there is a relationship between algorithmic trading and the liquidity of the JSE. The level of algorithmic trading is measured through an algorithmic trading proxy based on current academic theory. The results illustrate that there is a strong statistical relationship between the AT proxy and a change in market structure. The relationship between algorithmic trading and the liquidity of JSE is measured via four specific low-frequency measures: the stock turnover ratio, the proportional bid ask spread, the price impact ratio, and the zero return measure. Each liquidity measure is able to quantify a specific component of liquidity. Each liquidity measure was regressed against the algorithmic trading proxy. The results attained were mixed, with only two of the four measures producing statistically significant relationships. The results seem to indicate that the increase in algorithmic activity has resulted in a reduction of the price impact effect; however, a parallel increase in volatility was observed. An increase in the zero return measure was observed, which indicates that AT increases the efficiency of trading by reducing trading costs, and gathering information at a faster rate. The findings of this study may indicate that liquidity has improved, but has done so with a repercussion of an increase in volatility. Certain regulatory policy adjustments may be required to curb volatility while maintaining the heightened level of liquidity. zkgibs2014 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2014-09-11T06:56:39Z 2014-09-11T06:56:39Z 2014-04-30 2013 Mini Dissertation Zito, FA 2013, Algorithmic trading and the liquidity of the JSE, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/41975> http://hdl.handle.net/2263/41975 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Algorithms Liquidity -- JSE Algorithmic trading and the liquidity of the JSE |
| title | Algorithmic trading and the liquidity of the JSE |
| title_full | Algorithmic trading and the liquidity of the JSE |
| title_fullStr | Algorithmic trading and the liquidity of the JSE |
| title_full_unstemmed | Algorithmic trading and the liquidity of the JSE |
| title_short | Algorithmic trading and the liquidity of the JSE |
| title_sort | algorithmic trading and the liquidity of the jse |
| topic | UCTD Algorithms Liquidity -- JSE |
| url | http://hdl.handle.net/2263/41975 |