| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2013: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Outline of Final Research Achievements |
In this study, we explore the efficiency of pricing formation in short interval trades by detailed tick data recorded with millisecond time stamp. Contrary to previous researches, we can conclude, for Nikkei average constituent stocks, that the transaction cost had increased when the trading volume was relatively large. Moreover, we explored lead-lag relations between futures and Nikkei average constituent stocks around the timing of Nikkei basket trade had occurred. And we conclude that Nikkei average future and large-contribution stocks to Nikkei average demonstrated strong preceding property than the other futures (Nikkei mini and TOPIX) and other constituent stocks.
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