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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2016
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on...
Persistent link: https://www.econbiz.de/10011535566
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Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - In: The journal of fixed income 12 (2002) 1, pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
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Coupon effects and the pricing of Japanese government bonds : an empirical analysis
Eom, Young Ho - In: The journal of fixed income 8 (1998) 2, pp. 69-86
Persistent link: https://www.econbiz.de/10001252726
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Credit risk and the pricing of Japanese yen interest rate swaps
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 1997
Persistent link: https://www.econbiz.de/10000992592
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The behavior of prices in the Nikkei spot and futures market
Brenner, Menachem - In: Journal of financial economics 23 (1989) 2, pp. 363-383
Persistent link: https://www.econbiz.de/10001076046
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Arbitrage opportunities in the Japanese stock and futures markets
Brenner, Menachem - In: Financial analysts' journal : FAJ 46 (1990) 2, pp. 14-24
Persistent link: https://www.econbiz.de/10001088703
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Stock index futures arbitrage in the Japanese markets
Brenner, Menachem - In: Japan and the world economy : international journal of … 1 (1989) 3, pp. 303-330
Persistent link: https://www.econbiz.de/10001092089
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Scarcity and Spotlight Effects on Term Structure : Quantitative Easing in Japan
Pelizzon, Loriana - 2017
We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...
Persistent link: https://www.econbiz.de/10012955057
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Scarcity and Spotlight Effects on Liquidity : Quantitative Easing in Japan
Pelizzon, Loriana - 2018
We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...
Persistent link: https://www.econbiz.de/10012929473
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Low-Latency Trading and Price Discovery : Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
Bellia, Mario - 2020
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on...
Persistent link: https://www.econbiz.de/10012832032