High-Frequency Quantitative Trading and Stock Market Volatility in China: An Analysis of A-Shares and B-Shares in Shanghai and Shenzhen

Jingyu Yang ()
Additional contact information
Jingyu Yang: Hunan University (HNU), College of Finance and Statistics

A chapter in Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025), 2025, pp 1076-1089 from Springer

Abstract: Abstract The article, based on high-frequency trading data of A-shares and B-shares in Shanghai and Shenzhen, aims at investigating the influences of high-frequency quantitative trading (HFT) on the volatility of the Chinese stock market and proposes corresponding regulatory and improvement countermeasures, and it analyzes stock market volatility using the TGARCH model. It also looks at how market volatility is affected by quantitative trading activity. The results of the study show that high-frequency quantitative trading has an asymmetric effect and significantly affects market volatility in the Chinese stock market. There is empirical evidence that a rise in quantitative trading activity results in an increase in market volatility. This may be related to the nascent development stage of China’s stock market, the investor structure of the A-share market with a high proportion of retail investors, institutional arbitrage behavior that amplifies short-term volatility, and the trading system. The article proposes a series of recommendations for strengthening the dynamic supervision of high-frequency quantitative trading, enhancing the governance level of institutional investors, and strengthening regulation to promote the stable development of the market. These recommendations include the reasonable control of arbitrage and high-frequency strategies, the construction of regulatory and technical supervision systems, the strengthening of international cooperation and data sharing, the enhancement of regulatory transparency, and the strengthening of self-regulation of market entities.

Keywords: High-Frequency Trading (HFT); Stock Market Volatility; Regulatory Measures (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-748-9_116

Ordering information: This item can be ordered from
http://www.springer.com/9789464637489

DOI: 10.2991/978-94-6463-748-9_116

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().