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 Type	Single-year Grants
Research Field	Public finance/Monetary economics
Research Institution	Osaka 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
Keywords	Stock 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.

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