Reform and price discovery at the Tokyo Stock Exchange : from 1990 to 2012
著者
書誌事項
Reform and price discovery at the Tokyo Stock Exchange : from 1990 to 2012
（Palgrave pivot）
Palgrave Macmillan, 2015
- : hard
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注記
Includes bibliographcal references and index
内容説明・目次
内容説明
In the last two decades the Tokyo Stock Exchange implemented several important reforms in regulations, market trading mechanisms, and IT trading systems. In this book we analyze the impact of the evolution of the Tokyo Stock Exchange (TSE), at the same time discussing reforms in stock trading by related accounting standards and legal regulations.
With daily stock return and market microstructure data, we analyze how these reforms have significantly influenced the pricing structure and price discovery process of traded stocks, as well as the trading style of institutional investors, individual investors, and high frequency traders.
The research methodology we employ is primarily standard market microstructure tests as well as methods used in conventional empirical financial economics. We simultaneously use the most relevant concepts in these fields for our empirical tests and provide a comprehensive picture of trading, price discovery, pricing structure, and public vs. private information dissemination.
目次
1. Introduction to the System of Trading at the Tokyo Stock Exchange 2. Reform and Deregulation of Financial Markets in Japan: Evolution of Law and Accounting Standards 3. Market Microstructure and Information Asymmetry Variables: The Behavior of TSE Stocks 4. Risk and Return of Tokyo Stock Exchange 5. Impact of TSE Quarterly Disclosure on Information Asymmetry 6. Price Discovery Process Before and After the Introduction of the "Arrowhead" Trading System at the Tokyo Stock Exchange
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