Thesis (M.M.(Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Co-location on the JSE took place on the 14th of May 2014. This dissertation looks at
the impact this event has had on the market. In order to measure the effects of colocation,
market quality factors are examined before and after the event to see whether
there were any significant changes. A regression is then undertaken to see the
correlation between co-location, liquidity and volatility. Our results suggest that colocation
benefits market liquidity but we are unable to assess the relationship with
volatility. This means that the growing liquidity in the market can be used to attract
more institutions and firms wishing to run trading algorithms and strategies. Trades
originally meant for dark pools can be now traded on the JSE co-location servers. By
moving trades from dark pools to co-location servers at the JSE and encouraging
institutions to use these facilities, transparency can be increased. Exchanges should
implement kill switches if it is apparent that they are being impaired or flooded with
erroneous orders. The deployment of kill switches, circuit breakers and other system
compliance will improve investor confidence and market stability. Subsequent
research can lead to better understanding by investigating the correlation between colocation
and volatility. / MT 2018
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/23755 |
| Date | January 2016 |
| Creators | Sachikonye, Panashe John Lloyd |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | Online resource (46 leaves), application/pdf |
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