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Transaction Pattern and Liquidity Parameters (in Japanese)

Author

Listed:
  • 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 stock fs 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].

Suggested Citation

  • Hisashi Hashimoto, 2005. "Transaction Pattern and Liquidity Parameters (in Japanese)," Discussion Papers in Economics and Business 05-25, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:0525
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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0525.pdf
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    More about this item

    Keywords

    autocorrelation Ceffective spread Cliquidity;

    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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