Hisashi Hashimoto () (Graduate School of Economics, Osaka University)
Abstract
This paper introduces probability which represents symmetry transaction pattern into Roll [1984] and shows that the second autocorrelation for stockfs return is not necessarily zero. Glosten/Harris [1988] 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 [1988].
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Publisher Info
Paper 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.