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1993 Fiscal Year Final Research Report Summary

A Study of Trading Rules in the Japanese Stock Market

Research Project

Project/Area Number 04630054
Research Category

Grant-in-Aid for General Scientific Research (C)

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionOsaka University

Principal Investigator

TAKAGI Shinji  OSAKAU Univ. Faculty of Economics Assoc Prof., 経済学部, 助教授 (20226749)

Project Period (FY) 1992 – 1993
KeywordsStock market / Regional exchanges / Trading rules / Microstructure
Research Abstract

This resarch has studied the performance of the Japanese stock market. On the basis of intra-daily data of the Tokyo Stock Exchange (TSE), it has found that tere is positive serial correlation if subsequent price changes of less actively traded stocks, while there is a nagative correlation in more actively traded stocks. It has also hound that in the Over-the-Counter (OTC) market, where no market orders are permissible, there is no negative serial correlation even for most actively traded stocks. Becouse there is no obligatory market making in Japan, the difference in price behavior between different segments of the market reflects the presence or absence of boluntary market making activity. In this context, it tis pointed out that the liquidity of Japan's regional exchanges is severely limited.

  • Research Products

    (5 results)

All Other

All Publications (5 results)

  • [Publications] Shinji,Takagi: "The Organization and Microstructure of the Secondary Stock market" Shinji.Takagi(ed.) Japanese Capital Markets(Blackwell). 302-339 (1993)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Shinji,Takagi: "Hierarchy and Competition in the Japanese stock market" I.Walter and T.Hiraki(eds.) Restructuring Japan's Financial Markets(BUSINESS ONE ZRWIN). 3-25 (1993)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 高木信二: "わが国株式市場の流動性について" 計画行政(日本計画行政学会). 32. 49-58 (1992)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Shinji Takagi: ""The Organization and Microstructure of the Japanese Stodk Market"" Takagi (ed.), Japanese Capital Markets, Oxford, Blackwell. 302-339 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Shinji Takagi: ""Hierarcy and Competition in the Japanese Stock Market"" Walter and Hiraki (eds.) Restructuring Japan's Financial Markets, Homewoo* Business One Irwin. 3-25 (1993)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 1995-03-27  

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