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Transaction Pattern and Liquidity Parameters (in Japanese)


  • Hisashi Hashimoto

    () (Graduate School of Economics, Osaka University)


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 and Osaka School of International Public Policy (OSIPP).
  • Handle: RePEc:osk:wpaper:0525

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    References listed on IDEAS

    1. MacKinnon, James G. & White, Halbert & Davidson, Russell, 1983. "Tests for model specification in the presence of alternative hypotheses : Some further results," Journal of Econometrics, Elsevier, vol. 21(1), pages 53-70, January.
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    6. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    7. Azmat Gani, 1998. "Macroeconomic determinants of growth in the South Pacific island economies," Applied Economics Letters, Taylor & Francis Journals, vol. 5(12), pages 747-749.
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    More about this item


    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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