Högfrekvenshandels Inverkan på den Svenska Aktiemarknadens Volatilitet

Abstract

The focus of this paper is to investigate whether or not high frequency trading affects market volatility. Research on the topic has not been conducted on the Swedish stock market which is the purpose of this thesis. Previous research has been conflicting over whether or not high frequency trading increases or decreases volatility.

In order to test if there is a correlation between HFT and volatility, data from a 200 orderbooks has been processed in order to create an estimation on how much trade high frequency traders account for in the Swedish stock market. The data is collected from the Swedish database Swedish House of Finance (SHoF).

The outcome of the thesis analysis shows that the two estimates tested were significant. Hence both estimates show that HFT affects volatility. When the dataset was split by stock and date, merely no correlation between HFT and volatility could be found.