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Transaction Pattern and Liquidity Parameters (in Japanese)

Hashimoto, Hisashi - Graduate School of Economics, Osaka University - 2005

This paper introduces probability which represents symmetry transaction pattern into Roll [1984] and shows that the second autocorrelation for stockfs return is not necessarily zero. Glosten/Harris [1988] considers trader who symmetrically trades as information trader. Then I examine the...

Persistent link: https://www.econbiz.de/10005773297

Stock Split Bubble and Livedoor-Shock

Kohsaka, Youki - Graduate School of Economics, Osaka University - 2011

This paper examines whether the stock split bubble in Japan burst by not only reformed system, but also Livedoor-shock. It is difficult to identify the effects of the both events, because they occurred in the same month (January, 2006). Thus, I identify both effects by dividing the samples into...

Persistent link: https://www.econbiz.de/10009323619

Did the ETF enhance arbitrage between cash and futures of the Nikkei225?

Kohsaka, Youki - Graduate School of Economics, Osaka University - 2009

ETFs(Exchange-Traded Funds) by looking at the arbitrage relationships between cash and futures of the Nikkei225. This paper … is unique in that it uses tick data, which enable me to measure the degree of arbitrage by four indexes: 1) the frequency … and 2) the size of the deviations from non-arbitrage condition, which reflects the magnitude of arbitrage opportunities, 3 …

Persistent link: https://www.econbiz.de/10005039676

Traditional financing and distant trades during modernization process of financial industry: a case of Yamaguchi prefecture in the 1870s

Takatsuki, Yasuo - Graduate School of Economics, Osaka University - 2007

This paper examines the efficiency of the Dojima Rice Market established in 1730 in Osaka, and closed in 1869 due to the collapse of Tokugawa Shogunate. It had already been shown that there existed the price mechanism in Dojima. However, the most significant question: Whether the world first...

Persistent link: https://www.econbiz.de/10005773262