Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/51587
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dc.contributor.authorYap, Jia Wei
dc.contributor.authorDu, Jing
dc.contributor.authorZhang, Shu Qi
dc.date.accessioned2013-04-05T06:52:31Z
dc.date.available2013-04-05T06:52:31Z
dc.date.copyright2013en_US
dc.date.issued2013
dc.identifier.urihttp://hdl.handle.net/10356/51587
dc.description.abstractThis paper examines the market quality in the US securities market surrounding the “Flash Crash” on May 6, 2010 by focusing on the Dow Jones Industrial Average (DJIA) and its component stocks. The study defines market quality in three dimensions: stock price’s volatility, trading activity, and liquidity. The data collected is analyzed at the per-second level during the regular trading hours across the stock exchanges. Test results show that the market was efficient after the “Flash Crash”, and that High Frequency Trading (HFT) facilitates price discovery. Trading volume, number of trades, and stock price’s volatility increased during the event, but subsequently decreased back to normal over the post 5-day period. Likewise, May 6 recorded the largest decrease in liquidity and trade size, but it gradually returned to normal. A more detailed analysis indicates a lead-lag relationship between the 30 component stocks and the DJIA Exchange Traded Fund (ETF). Together with the autocorrelation analysis conducted, the study concludes that the securities market is efficient in processing new information.en_US
dc.format.extent81 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University
dc.subjectDRNTU::Businessen_US
dc.titleHigh frequency trading and market quality : an analysis on Dow Jones industrial average and its component stocksen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorCharlie Charoenwongen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US
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Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
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