The effect of algorithmic trading on the liquidity of investors' shares Iranian stock exchange market

Subject Areas : Journal of Investment Knowledge

hamidreza shammakhi ¹ ( Assistant Professor, Islamic Azad University Islamshahr Branch )

Received: 2022-12-10 Accepted : 2022-12-24 Published : 2023-12-22

Keywords: Algorithmic trading, iranian stock exchange, stock liquidity,

Abstract :

The development of financial markets is impossible without the development of financial instruments and institutions. With the design and development of new financial instruments, the need for new, fast and smart trading methods is inevitable. In this research, an attempt has been made to investigate the effect of using the algorithmic trading method on the liquidity of investors' shares.For this research purpose, the transactions of three major capital market management funds, including Novin Poror, Sabanik and Capital Bonus, have been studied in 1998 and 1999 in relation to the stocks under their management. The trading data of the companies under the management of these funds have been examined in terms of the type of sample distribution and normality.After ensuring the normality of the data distribution, the hypothesis of the research regarding the effect of algorithmic trading on the liquidity of investors' shares has been investigated with the appropriate statistical method. According to the research results, the use of algorithmic trading methods has a direct effect on the liquidity of companies' shares.

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