| Project/Area Number |
04630054
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Osaka University |
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Principal Investigator |
TAKAGI Shinji OSAKAU Univ. Faculty of Economics Assoc Prof., 経済学部, 助教授 (20226749)
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| Project Period (FY) |
1992 – 1993
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| Project Status |
Completed (Fiscal Year 1993)
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| Budget Amount *help |
¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 1993: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1992: ¥800,000 (Direct Cost: ¥800,000)
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| Keywords | Stock market / Regional exchanges / Trading rules / Microstructure / 株式取引 / マーケットメーキング / ザラバ売買法 / 市場の流動性 |
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| Research Abstract |
This resarch has studied the performance of the Japanese stock market. On the basis of intra-daily data of the Tokyo Stock Exchange (TSE), it has found that tere is positive serial correlation if subsequent price changes of less actively traded stocks, while there is a nagative correlation in more actively traded stocks. It has also hound that in the Over-the-Counter (OTC) market, where no market orders are permissible, there is no negative serial correlation even for most actively traded stocks. Becouse there is no obligatory market making in Japan, the difference in price behavior between different segments of the market reflects the presence or absence of boluntary market making activity. In this context, it tis pointed out that the liquidity of Japan's regional exchanges is severely limited.
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