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Transaction Pattern and Liquidity Parameters (in Japanese)

Listed author(s):
  • Hisashi Hashimoto


    (Graduate School of Economics, Osaka University)

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    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].

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    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.

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    Length: 14 pages
    Date of creation: Sep 2005
    Handle: RePEc:osk:wpaper:0525
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