Market microstructure studies of the Japanese securities market
| Project/Area Number |
20730221
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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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 | Sophia University (2009-2011)
Meisei University (2008) |
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Principal Investigator |
ISAKA Naoto 上智大学, 国際教養学部, 准教授 (00434192)
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| Project Period (FY) |
2008 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
|
| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(6 results)
Research Products
(22 results)
