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Market Microstructure and Spread Pattern in the JASDAQ Market

Author

Listed:
  • Jun Uno

    (Chuo University)

  • Takeshi Shimatani

    (Bank of Japan)

  • Tokiko Shimizu

    (Bank of Japan)

  • Sachiko Mannen

    (Nikkei Quick Information Technology Co., Ltd.)

Abstract

Firms listed on JASDAQ can select either the order-driven (hereafter OD) system, where formal market makers are not involved, or the market-maker (hereafter MM) system for the trading of stocks. How differences in trading systems affect pricing and liquidity is a key issue in the study of market microstructure. This paper examines empirical analyses of spread patterns for stocks listed on JASDAQ in order to ascertain the implications of differences in trading systems on price formation.

Suggested Citation

  • Jun Uno & Takeshi Shimatani & Tokiko Shimizu & Sachiko Mannen, 2002. "Market Microstructure and Spread Pattern in the JASDAQ Market," Bank of Japan Working Paper Series Financial Markets Departm, Bank of Japan.
    • Handle: RePEc:boj:bojwps:02-e-2f
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    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2002/data/kwp02e02.pdf
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    Cited by:

    1. Kirkulak, Berna & Davis, Colin, 2005. "Underwriter reputation and underpricing: Evidence from the Japanese IPO market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 451-470, September.
    2. Iwatsubo, Kentaro & Rhee, S. Ghon & Zhang, Ye Zhou, 2023. "Dealership versus continuous auction: Evidence from the JASDAQ market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    3. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.

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