| Budget Amount *help |
¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
|
|---|
| Outline of Final Research Achievements |
The purpose of this study is to investigate whether an upgrade of the execution system of securities exchanges affects the price discovery at the market opening. It is possible that informed traders submit their orders just before the opening under the low-latency system, which can make opening prices less informationally efficient. We investigate effects of the upgrade of the Tokyo Stock Exchange in January, 2010.
After its system upgrade, orders were split into smaller sizes, the number of order cancellations increased, and more orders were submitted just before the opening. Judging from the estimated results of unbiasedness regression, the informational efficiency became lower before its upgrade and returned to the pre-upgrade level after half a year of its upgrade. Thus, the effect on informational efficiency was temporary, suggesting that a low-latency execution system does not necessarily disturb the price discovery at the market opening.
|
