2011 Fiscal Year Final Research Report
Market microstructure studies of the Japanese securities market
| Project/Area Number |
20730221
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Sophia University (2009-2011)
Meisei University (2008) |
|---|
Principal Investigator |
ISAKA Naoto 上智大学, 国際教養学部, 准教授 (00434192)
|
|---|
| Project Period (FY) |
2008 – 2011
|
| 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 |
|---|
| 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.
|
