Transaction Pattern and Liquidity Parameters (in Japanese)
AbstractThis paper introduces probability which represents symmetry transaction pattern into Roll  and shows that the second autocorrelation for stockfs return is not necessarily zero. Glosten/Harris  considers trader who symmetrically trades as information trader. Then I examine the relation between probability which represents symmetry transaction pattern and liquidity parameter (effective spread, average volume). The result are consistent with Glosten/Harris .
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 05-25.
Length: 14 pages
Date of creation: Sep 2005
Date of revision:
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Atsuko SUZUKI).
If references are entirely missing, you can add them using this form.