Effect of co-location in the Johannesburg Securities Exchange (JSE)

Simple item page
dc.contributor.authorSachikonye, Panashe John Lloyd
dc.date.accessioned2018-02-05T07:25:26Z
dc.date.available2018-02-05T07:25:26Z
dc.date.issued2016
dc.descriptionThesis (M.M.(Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016en_ZA
dc.description.abstractCo-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.en_ZA
dc.description.librarianMT 2018en_ZA
dc.format.extentOnline resource (46 leaves)
dc.identifier.citationSachikonye, Panashe John Lloyd (2016) Effect of co-location in the Johannesburg Securities Exchange (JSE), University of the Witwatersrand, Johannesburg, <https://hdl.handle.net/10539/23755>
dc.identifier.urihttps://hdl.handle.net/10539/23755
dc.language.isoenen_ZA
dc.subject.lcshJohannesburg Stock Exchange
dc.subject.lcshStocks--Prices--South Africa
dc.titleEffect of co-location in the Johannesburg Securities Exchange (JSE)en_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
THE EFFECT OF COLOCATION IN THE JOHANNESBURG SECURITIES EXCHANGE.pdf
Size:
898.02 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ETD Collection