Does electronic trading influence stock prices? The Indian experience

Vinodh Madhavan, Ishita Mukhopadhyay and Partha Ray

Applied Economics Letters, 2020, vol. 27, issue 18, 1459-1462

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.

Date: 2020
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DOI: 10.1080/13504851.2019.1690121

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