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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Title Author(s) 東京証券取引所における株式取引 : 2001 年から 2003 年 太田, 亘 Citation 大阪大学経済学. 57(4) P.242-P.262 Issue Date 2008-03 Text Version publisher URL https://doi.org/10.18910/15995 DOI 10.18910/15995 rights Vol.57
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