Securities Trading in the Absence of Dealers: Trade and Quotes on the Tokyo Stock Exchange
AbstractThis article investigates the behavior of intraday trades and quotes for individual stocks on the Tokyo Stock Exchange (TSE). We examine the transaction and quote record for three firms for the first 3 months of 1990. Our findings suggest that the immediacy available (at least for small trades) in the market is high, despite the reliance on public limit orders to supply liquidity. When orders that would otherwise walk through the limit order book are converted into limit orders, execution is delayed, but some orders execute (at least in part) at more favorable prices. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 92-35.
Length: 37 pages
Date of creation: 1992
Date of revision:
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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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securities ; stock market;
Other versions of this item:
- Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-78.
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