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1 Two Marke Conjecural Equlbrum) All Rghs Reserved. 1

2 ?????????????????? All Rghs Reserved.

3 1 Pagano[1989] Pagano[1989] (01) K 0 = K 0 + e () E( U ) ( ~ ) ( / ) var( ~ ~ = E w1 b w1 ) where w~ = dk + R( w + p( K K )) [ ( P, K + e ) e ] E u bσ K σ e N N 0 N N * µ bσ P = K 0 + e R R 0 + = σ e e 1 N N ( µ bσ K0)( K N K h = A Bp + + K = NK 0 + = h= 1 ~η ( ) e N h 1 e h 0 + e ) + Rw All Rghs Reserved. 3

4 Pagano[1989]?? () () SGXOSE OSE491.5()493.0()SGX84.5( )81.5() 5. () 50(5) 3 1OSESGX All Rghs Reserved. 4

5 3 5!! All Rghs Reserved. 5

6 (1998/1/5~005/9/30). (005/3/11~005/5/31) 3. () All Rghs Reserved. 6

7 1. (Shapro-WlkKolmogrov-Smmov Lllefors) (Wlcoxon) Wlcoxon Welch Welch All Rghs Reserved. 7

8 3. 1ADFPP SGX = a + bose + u ADFPP b1 a ADF(OSE) ADF(SGX) (0.3) 1.00(6331) (-0.5) 1.00(545) (-.83) 1.00(640) ADF1 ( ) All Rghs Reserved. 8

9 1 Kyle[1987] 1. [1998][00]Karpoff[1987]Glosen/Harrs[1988]. Marke Deph All Rghs Reserved. 9

10 1. [1998][00]Karpoff[1987]Glosen/Harrs[1988] Karpoff Glosen OSE OSE SGX SGX OSE OSE OSE Adj. DW All Rghs Reserved. 10

11 3. Marke Deph 1 Marke Deph All Rghs Reserved. 11

12 4 λ 1 λ () () Adj. DW (106.65) 0.0(111.80) (143.36) 0.05(144.07) Ask m D = m m D = Ask D + e 1 B λ D m B m m m Ask m B 1 10 > 0 1 m 00 B All Rghs Reserved. 1

13 1. Pagano[1989] Granger Causaly Tes. Adma/Pflederer[1989] 3. Pagano[1989] All Rghs Reserved. 13

14 Pagano[1989] 5 Pagano[1989] Bd-Ask SpreadHgh-Frequency Marke DaaInraday Daa Marke DephMarke ImpacMarke McrosrucureTwo Marke Conjecural Equlbrum5 e-mal: knshbaa@cs.h-u.ac.jp, k-nshbaa@se.or.jp All Rghs Reserved. 14

15 Adma,A./P.Pflederer[1988],A Theory of Inraday paerns:volume and Prce Varably,Revew of Fnancal Sudes Vol.1,No.1,Sprng,3-40 Bank of Inernaonal Selemens[1999], Marke Lqudy: Research Fndngs and Seleced Polcy Implcaons Brennan,M./A.Subrahmanyam[1996],Marke mcrosrucure and asse prcng: On he compensaon for llqudy n sock reurns,journal of Fnancal Economcs 41,PP Campbell,J.Y./A.W.Lo/C.MacKnlay[1996],The Economercs of Fnancal Markes, Prnceon Unv. Pr Glosen,L.R./L.E.Harrs[1988],Esmang he componens of he Bd/Ask spread, Jounal of Fnancal Economcs 1,PP13-14 Karpoff,J.M.[1987],The Relaon Beween Prce Changes and Tradng Volume:A Survey,Jounal of Fnancal and Quanave Analyss,PP Kyle,A.[1989],Informed Speculaon wh Imperfec Compeon,Revew of Economc Sudes,56,PP Ohara,M. [1995],Marke Mcrosrucure Theory,Blackwell Publshers Pagano,M.[1989],Tradng Volume and Asse Lqudy Quarerly Journal of Economcs,104,PP Shyy,G./C.Shen[1997],A Comparave Sudy on Inerday Marke Volaly and Inraday Prce Transmsson of Nkke/JGB Fuures Markes Beween Japan and Sngapore,Revew of Quanave Fnance and Accounng,9(1997) PP [00], 00.3,No.11,PP31-41 [1996],, /[1999], 10, ///[1998],, /[1999],Tck, NQIrepor No6 [001],,/ All Rghs Reserved. 15

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