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 .
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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; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
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