本邦株式市場の流動性に関する動学的考察―東京証券取引所のティック・データ分析―

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1 tightnessdepth resiliency BIS Market Liquidity: Research Findings and Selected Policy Implications BISWorld Wide Web

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30 IMES Discussion Paper B. N.D. M. Engle, R. F., and J. Lange, Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market, NBER Working Paper No. 6129, Fletcher, The Role of Information and the Time between Trades: An Empirical Investigation, Journal of Financial Research, 18 (2), Hausman, J. A., A. W. Lo, and A. C. MacKinlay, An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics, 31 (3), Kyle, A. S., Continuous Auctions and Insider Trading, Econometrica, 53 (6), Lehman, B. N., and D. M. Modest, Trading and Liquidity on the Tokyo Stock Exchange: A Bird s Eye View, Journal of Finance, July Muranaga, J., and T. Shimizu, Market Microstructure and Market Liquidity, IMES Discussion Paper No. 99-E-14, Institute for Monetary and Economic Studies, Bank of Japan, O Hara, M., Market Microstructure Theory, Blackwell Publishers Inc., 1995.

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第一次大戦後の日本における国債流通市場の制度改革 IMES DISCUSSION PAPER SERIES Discussion Paper No. 2009-J-23 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 103-8660 2-1-1 http://www.imes.boj.or.jp IMES Discussion Paper Series 2009-J-23 2009

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IMES DISCUSSION PAPER SERIES Discuss ssion Paper No. 98-J-2 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 203 IMES Discuss ssion Paper Series 98-J-2 1998 1 VaRVWAP E-mail: ohsawa@boj.co.uk

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