High-Frequency Quantitative Trading and Stock Market Volatility in China: An Analysis of A-Shares and B-Shares in Shanghai and Shenzhen

DOI

10.2991/978-94-6463-748-9_116How to use a DOI?

Keywords

High-Frequency Trading (HFT); Stock Market Volatility; Regulatory Measures

Abstract

The article, based on high-frequency trading data of A-shares and B-shares in Shanghai and Shenzhen, aims at investigating the influences of high-frequency quantitative trading (HFT) on the volatility of the Chinese stock market and proposes corresponding regulatory and improvement countermeasures, and it analyzes stock market volatility using the TGARCH model. It also looks at how market volatility is affected by quantitative trading activity. The results of the study show that high-frequency quantitative trading has an asymmetric effect and significantly affects market volatility in the Chinese stock market. There is empirical evidence that a rise in quantitative trading activity results in an increase in market volatility. This may be related to the nascent development stage of China’s stock market, the investor structure of the A-share market with a high proportion of retail investors, institutional arbitrage behavior that amplifies short-term volatility, and the trading system. The article proposes a series of recommendations for strengthening the dynamic supervision of high-frequency quantitative trading, enhancing the governance level of institutional investors, and strengthening regulation to promote the stable development of the market. These recommendations include the reasonable control of arbitrage and high-frequency strategies, the construction of regulatory and technical supervision systems, the strengthening of international cooperation and data sharing, the enhancement of regulatory transparency, and the strengthening of self-regulation of market entities.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Jingyu Yang
PY  - 2025
DA  - 2025/07/03
TI  - High-Frequency Quantitative Trading and Stock Market Volatility in China: An Analysis of A-Shares and B-Shares in Shanghai and Shenzhen
BT  - Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
PB  - Atlantis Press
SP  - 1076
EP  - 1089
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-748-9_116
DO  - 10.2991/978-94-6463-748-9_116
ID  - Yang2025
ER  -