Transaction Pattern and Liquidity Parameters (in Japanese)

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 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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Year of publication:	2005-09
Authors:	Hashimoto, Hisashi
Institutions:	Graduate School of Economics, Osaka University
Subject:	autocorrelationCeffective spreadCliquidity

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Extent:	application/pdf
Series:	Discussion Papers in Economics and Business.
Type of publication:	Book / Working Paper
Language:	Japanese
Notes:	Number 05-25 14 pages
Classification:	G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

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