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Does electronic trading influence stock prices? The Indian experience

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  • Vinodh Madhavan
  • Ishita Mukhopadhyay
  • Partha Ray

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.

Suggested Citation

  • Vinodh Madhavan & Ishita Mukhopadhyay & Partha Ray, 2020. "Does electronic trading influence stock prices? The Indian experience," Applied Economics Letters, Taylor & Francis Journals, vol. 27(18), pages 1459-1462, October.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:18:p:1459-1462
    DOI: 10.1080/13504851.2019.1690121
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