| Project/Area Number |
18K01952
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07100:Accounting-related
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| Research Institution | Osaka University of Economics |
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Principal Investigator |
Kato Kazuo 大阪経済大学, 情報社会学部, 准教授 (90319567)
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| Co-Investigator(Kenkyū-buntansha) |
片山 東 早稲田大学, 商学学術院, 教授 (00595746)
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| Project Period (FY) |
2018-04-01 – 2023-03-31
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| Project Status |
Completed (Fiscal Year 2022)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2020: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2019: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2018: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | マーケットマイクロストラクチャ / Stealth trading仮説 / 大規模投資家 / 流動性 / 大口投資家 / Liquidity / Trade size / 経営者予想 / マーケット・マイクロストラクチャ / 投資家行動 |
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| Outline of Final Research Achievements |
The stealth trading hypothesis (Barclay and Warner, 1993) asserts that informed traders break up their orders into smaller lots to conceal their trading interests, predicting that cumulative price changes are linked with small- or medium-sized orders. We revisit this hypothesis using data from the Tokyo Stock Exchange. Consistent with previous studies, our results show that the price contributions of small-sized orders are, on average, significantly larger than those of medium- or large ones. However, this relationship is more complex than what has been previously documented in the literature; it depends crucially on the level of liquidity in that for more liquid stocks, larger orders contribute comparatively more to the price discovery process. These results are consistent with informed traders conditioning their order-size choices on the liquidity level. Our analysis suggests that the primary concern of large-sized traders is the waiting cost, not information leakage.
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| Academic Significance and Societal Importance of the Research Achievements |
近年のNY証券取引所では個人投資家による取引比率は微々たるもので、機関投資家主体の市場となった。対して東京証券取引所では依然、２割ほどを個人が占めている。米国市場の変化は、市場の細分化や市場の透明性の低下は、情報や投資技量で劣る個人投資家が駆逐された結果ではないかとも思われる。多様な投資手法を認めることは、様々な効用を持った投資家の要請に応えることを意味し、それ自体に意義はあろう。しかし同時、に取引が集中し、シンプルな取引メカニズムを維持してきたことが、東証は多様な投資主体の共存の維持につながっている可能性が考えられる。本研究の結果から、投資主体の多様性の意味を再考する必要性を示唆している。
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