Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

Yasushi Hamao; Joel Hasbrouck

doi:10.1093/rfs/8.3.849

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Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

Yasushi Hamao¹; Joel Hasbrouck²

¹ Columbia University · ² New York University

Review of Financial Studies 1995

Yasushi HamaoColumbia UniversityJoel HasbrouckNew York UniversityThis article investigates the behavior of intra-day trades and quotes for individual stocks onthe Tokyo Stock Exchange (TSE). We examine thetransaction and quote record for three firms forthe first 3 months of 1990. Our findings suggestthat the immediacy available (at least for smalltrades) in the market is high, despite the re-liance on public limit orders to supply liquidity.When orders that would otherwise walk throughthe limit order book are converted into limit or-ders, execution is delayed; but some orders exe-cute (at least in part) at more favorable prices.

DOI: 10.1093/rfs/8.3.849
Volume: 8 (3)
Pages: 849-878
Language: en
Export: BibTeX
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