Market microstructure studies of the Japanese securities market

• Project/Area Number: 20730221
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Sophia University (2009-2011); Meisei University (2008)
• Principal Investigator: ISAKA Naoto 上智大学, 国際教養学部, 准教授 (00434192)
• Project Period (FY): 2008 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000); Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2008: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
• Keywords: マーケット・マイクロストラクチャー / 実証ファイナンス / 金融論 / 金融 / 経済統計学 / ファイナンス / イベント・スタディー

Research Abstract

The purpose of this project has been to empirically investigate the performance of Japanese securities markets in terms of the market liquidity and price discovery. I have examined informed traders' order submissions and found that they strategically place market and limit orders. I have also examined the effect of an increase in individual investor base on the efficiency of stock prices following minimum trading unit reductions.

Research Products

• [Journal Article] Stock price reactions following minimum trading unit reductions and stock splits : Evidence from Japan (2012)
  • Author(s): Naoto Isaka, Hiroshi Yoshikawa
  • Journal Title: Social Science Research Network Volume: No.2043144 Pages: 1-24
• [Journal Article] An empirical analysis of order flow prior to the announcement of major negative information (2012)
  • Author(s): Naoto Isaka
  • Journal Title: Proceedings of the Midwest Finance Association 2012 Annual Meeting Volume: 1928197 Pages: 1-28
• [Journal Article] An Empirical Analysis of Order Flow prior to the Announcement of Major Negative Information (2012)
  • Author(s): Naoto Isaka
  • Journal Title: Proceedings of the Midwest Finance Association 2012 Annual Meeting Volume: ID:1928197 Pages: 1-28
• [Journal Article] Stock price reactions following minimum trading unit reductions and stock splits : Evidence from Japan (2012)
  • Author(s): Naoto Isaka, Hiroshi Yoshikawa
  • Journal Title: SSRN (Available at Social Science Research Network) Volume: No.2043144 Pages: 1-24
• [Journal Article] 売買単位引き下げの長期的な影響 (2012)
  • Author(s): 井坂直人
  • Journal Title: 上智大学学術情報リポジトリ(研究論文) Pages: 1-23
• [Journal Article] On determinants of swap spreads in Japanese ABS markets (2011)
  • Author(s): Naoto Isaka, Kazuhiko Ohashi
  • Journal Title: Sophia Internationa Review Volume: Vol.22 Pages: 23-60
  • NAID: 120005883744
• [Journal Article] 業績予想修正発表と注文フローに関する実証分析 (2011)
  • Author(s): 井坂直人
  • Journal Title: 上智大学学術情報リポジトリ(研究論文) Pages: 1-19
• [Journal Article] On determinants of swap spreads in Japanese ABS markets (2011)
  • Author(s): Naoto Isaka, Kazuhiko Ohashi
  • Journal Title: Sophia International Review 33 Pages: 23-60
  • NAID: 120005883744
• [Journal Article] On determinants of swap spreads in Japanese ABS markets (2011)
  • Author(s): Naoto Isaka, Kazuhiko Ohashi
  • Journal Title: Sophia International Review Volume: Vol.33 Pages: 23-60
  • NAID: 120005883744
• [Journal Article] 売買単位の変更と株式収益率 (2009)
  • Author(s): 井坂直人・吉川浩史
  • Journal Title: 現代ファイナンス Pages: 3-22
  • NAID: 130007528294
  • Peer Reviewed
• [Journal Article] 売買単位の変更と株式収益率 (2009)
  • Author(s): 井坂直人・吉川浩史
  • Journal Title: 現代ファイナンス 25巻 Pages: 3-22
  • NAID: 130007528294
  • Peer Reviewed
• [Journal Article] 売買単位の変更と株式収益率 (2009)
  • Author(s): 井坂直人・吉川浩史
  • Journal Title: 現代ファイナンス 25 Pages: 3-22
  • NAID: 130007528294
  • Peer Reviewed
• [Presentation] An empirical analysis of order flow prior to the announcements of major negative information (2012)
  • Author(s): Naoto Isaka
  • Organizer: Southwestern Finance Assiciation 2012 Annual Conference
  • Place of Presentation: Sheraton Hotel, New Orleans, U. S. A.
  • Year and Date: 2012-03-01
• [Presentation] An Empirical Analysis of Order Flow prior to the Announcement of Major Negative Information (2012)
  • Author(s): Naoto Isaka
  • Organizer: Southwestern Finance Association 2012 Annual Conference
  • Place of Presentation: Sheraton Hotel, New Orleans
  • Year and Date: 2012-03-01
• [Presentation] An empirical analysis of order flow prior to the announcements of major negative information (2012)
  • Author(s): Naoto Isaka
  • Organizer: 2012 Midwest Finance Association Annual Meeting
  • Place of Presentation: Sheraton Hotel, New Orleans, U. S. A.
  • Year and Date: 2012-02-24
• [Presentation] An Empirical Analysis of Order Flow prior to the Announcement of Major Negative Information (2012)
  • Author(s): Naoto Isaka
  • Organizer: 2012 Midwest Finance Association Annual Meeting
  • Place of Presentation: Sheraton Hotel, New Orleans
  • Year and Date: 2012-02-24
• [Presentation] An empirical analysis of order flow prior to the announcements of negative information (2011)
  • Author(s): Naoto Isaka
  • Organizer: The 7th International Conference on Asian Financial Markets
  • Place of Presentation: Nagasaki University
  • Year and Date: 2011-12-11
• [Presentation] An Empirical Analysis of Order Flow prior to the Announcement of Negative Information (2011)
  • Author(s): Naoto Isaka
  • Organizer: The 7th International Conference on Asian Financial Markets
  • Place of Presentation: Nagasaki University
  • Year and Date: 2011-12-11
• [Presentation] On determinants of swap spreads in Japanese ABS markets (2009)
  • Author(s): Naoto Isaka
  • Organizer: Asian Finance Association International Conference 2006
  • Place of Presentation: Hilton Hotel, Brisbane, Australia
  • Year and Date: 2009-07-02
• [Presentation] On determinants of swap spreads in Japanese ABS markets (2009)
  • Author(s): Naoto Isaka
  • Organizer: Asian Finance Association International Conference 2009
  • Place of Presentation: Brisbane, Australia
  • Year and Date: 2009-07-02
• [Remarks] 井坂直人,「業績予想修正発表と注文フローに関する実証分析」『上智大学学術情報リポジトリ(研究論文)』pp. 1-19(2011).
  • URL: http://repository.cc.sophia.ac.jp/dspace/
• [Remarks] 井坂直人,「売買単位引き下げの長期的な影響」『上智大学学術情報リポジトリ(研究論文)』pp. 1-23(2012).
  • URL: http://repository.cc.sophia.ac.jp/dspace/