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1 c unbiaseness regression unbiaseness regression 1. Kyle 1985 inicative quote Biais et al unbiaseness regression Cao et al Mahavan an Panchapagesan 2000 Barclay an Henershott 2003, 2008 Comerton-Fore an Ryge 2006 Chen et al Biais et al Biais et al

2 Kobayashi 1977 Joran 1982 Vives 1995 Kobayashi

3 69 unbiaseness regression

4 Biais et al

5 71 3. unbiaseness regression v 0 E(v I 0) 0 v τ P τ (3.1) v E(v I 0)=α + β(p τ E(v I 0)) + ɛ α β ɛ P c, v = P c, E(v I 0)=P c, 1 τ P τ, Biais et al τ P c, P c, 1 = α + β P τ, P c, 1 + ɛ P c, 1 P c, 1 β = Cov(P c, P c, 1, P τ, P c, 1 ) Var(P τ, P c, 1 ) =1+ Cov(P c, P τ,, P τ, P c, 1 ) Var(P τ, P c, 1 ) τ P τ, 0 Cov(P c, P c, 1,e τ, )=0 e τ, P τ, = P c, 1 + e τ, β =0 β>0 τ Cov(P c, P τ,, P τ, P c, 1 )=0 β =1 Cov(P c, P τ,, P τ, P c, 1 ) > 0 β>1 β<1 Cov(P c, P τ,, P τ, P c, 1 ) < 0 β Biais et al unbiaseness regression β 1 β 1 1 β = American Depository Receipt ADR NASDAQ 170 i =1,...,170

6 ADR ADR ADR ADR 4.2 unbiaseness regression D = 455 =1,...,D t t =8: unbiaseness regression v E(v I 0) v E(v I 0) Amihu an Menelson 1991

7 73 Comerton-Fore an Ryge Mahavan et al Cushing an Mahavan 2000 Hillion an Suominen 2004 Chang et al v E(v I 0) Barclay an Henershott 2008 unbiaseness regression t p M t, p M c, i t p Ti t, p Ti c, Tse 1999 Biais et al. 1999

8 i t p Ii t, i t ˆα i t ˆβ t i p Ii t, = p Ti t, ˆα i t ˆβ t p i M t, p Ii c, p Ii c, = p Ti c, ˆα i 10:55 ˆβ 10:55 p i M c, 3 Fama an French t qt, M t i t qt, Ti t i t qt, Ii i t qt, Ti qt, M =1,...,D ᾱ i t β t i qt, Ii = qt, Ti ᾱ i t β tq i t, M β t i Cao et al Subrahmanyam 1997

9 75 George an Hwang 1995 i L i L i L M L M L i L M unbiaseness regression 5.1 t =1,...,D p M c, = α + β p M t, + γl M p M t, + ɛ α β γ β γ 0 unbiaseness regression Comerton-Fore an Ryge 2006 unbiaseness regression i t =1,...,D p Ii c, = α + β p Ii t, + γl i p Ii t, + ɛ i t =1,...,D p Ti c, = α + β p Ti t, + γl i p Ti t, + ɛ β β

10 p Ii c, p Ii t, t Choria et al t 170 t γ γ 8 59 γ γ unbiaseness regression 170 t [ ] 1 t

11 ADR 170 unbiaseness regression 170 t [ ] 1 t R 2 t

12 A L M V M i 1 V Ii V M p M 9:00, =1,...,D µ pm 9:00 σ pm 9:00

13 79 p M 9:00, µ pm 9:00 >σpm Ii 9:00 /2 1 V i p Ii 9:00, =1,...,D σ pi 9:00 p Ii 9:00, >σ pi 9:00 /2 1 (V M,V Ii ) (0,0) (1,0) (0,1) (1,1) V M V Ii 9 0 V M V Ii (V M,V Ii ) t (V M,V Ii )=(0,0) ADR 170 V M V Ii i

14 V M V Ii V M =0 V M =1 V Ii =1 V Ii =0 V Ii =1 V M =1 2 =0 = p M 9:00, p Ii 9:00, V M V i qt, M =1,...,D q M 8:59, = α + γ p M 9:00, + ɛ q Ii t, q Ti t, i =1,...,D q Ii 8:59, = α + β p Ii 9:00, + γ p M 9:00, + ɛ q Ti 8:59, = α + β p Ii 9:00, + γ p M 9:00, + ɛ 2 γ β β γ 4 t t ADR t R 2 t

15 81 F F unbiaseness regression Ht, V M M Ht,V M M V M Ht, M t q M t, t =1,...,D q M t, µ qm t σ qm t qt, M qt, M >µ qm t 1 p M c, = α + β 1 p M t, + β 2H M t, p M t, + β 3V M + σ qm t p M t, + β 4Ht,V M M p M t, + γl M p M t, + ɛ /2 Ht, V Ii i Ht,V Ii i V Ii Ht, Ii t 1 qt, Ii i t qt, Ii σ qii t qt, Ii qt, Ii >σ qii t /2 1 p Ii c, = α + β 1 p Ii t, + β 2Ht, p Ii Ii t, + β 3V Ii p Ii t, + β 4H Ii t,v Ii p Ii t, + γl i p Ii t, + ɛ Ht, V Ti Ti Ht,V Ti Ti Ht, Ti 1 i t q Ti t, µ qti t q Ti t, q Ti t, >µ qti t V Ti 1 V Ti p Ti c, = α + β 1 p Ti t, + β 2H Ti t, p Ti σ qti t + σ qti t /2 1 =1 (1 V M )(1 V Ii ) t, + β 3V Ti p Ti t, + β 4H Ti t,v M p Ti t, + γl i p Ti t, + ɛ 3 2 j {M,Ii,Ti} 9 0 p j t, 1

16 p j t, p j t, 1 H j t, pj t, V j pj t, H j t, V j pj t, unbiaseness regression t [ ] 1 t F 3 F 3 F t F <> 3 F 5 5 A 8 59 V M p M t, p M t, 1 p M t, L M 3 F B 8 59 p Ii t, V Ii p Ii t, p Ii t, 1 p Ii t, L i 3 F C 3 H j t, j {M,Ii,Ti} 5 4

17 ADR 170 unbiaseness regression t [ ] 1 t F 3 F R 2 t F F <> 3 F 5

18 ADR 170 unbiaseness regression R 2 t t [ ] 1 t F 3 F F <> 3 F 5

19 B 8. unbiaseness regression ADR ADR Amihu, Y. an Menelson, H Volatility, efficiency, an traing: Evience from the Japanese stock-market, Journal of Finance, 46, Barclay, M. J. an Henershott, T Price iscovery an traing after hours, Review of Financial Stuies, 16, Barclay, M. J. an Henershott, T A comparison of traing an non-traing mechanisms for price iscovery, Journal of Empirical Finance, 15, Biais, B., Hillion, P. an Spatt, C Price iscovery an learning uring the preopening perio

20 in the Paris Bourse, Journal of Political Economy, 107, Biais, B., Bisiere, C. an Pouget, S Equilibrium iscovery an preopening mechanisms in an experimental market, IDEI Working Paper, n. 543, IDEI, Toulouse. Cao,C.,Ghysels,E.anHatheway,F.M Price iscovery without traing: Evience from the Nasaq preopening, Journal of Finance, 55, Cao, C., Hansch, O. an Wang, X. X The information content of an open limit-orer book, Journal of Futures Markets, 29, Chang,R.P.,Rhee,S.G.,Stone,G.R.anTang,N How oes the call market metho affect price efficiency? Evience from the Singapore stock market, Journal of Banking an Finance, 32, Chen, T., Cai, J. an Ho, R. Y. K Intraay information efficiency on the Chinese equity market, China Economic Review, 20, Choria, T., Roll, R. an Subrahmanyam, A Liquiity an market efficiency, Journal of Financial Economics, 87, Comerton-Fore, C. an Ryge, J The influence of call auction algorithm rules on market efficiency, Journal of Financial Markets, 9, Cushing, D. an Mahavan, A Stock returns an traing at the close, Journal of Financial Markets, 3, Fama,E.F.anFrench,K.R Common risk-factors in the returns on stocks an bons, Journal of Financial Economics, 33, George, T. J. an Hwang, C.-Y Transitory price changes an price-limit rules: Evience from the Tokyo Stock Exchange, Journal of Financial an Quantitative Analysis, 30, Hillion, P. an Suominen, M The manipulation of closing prices, Journal of Financial Markets, 7, Joran,J.S A ynamic-moel of expectations equilibrium, Journal of Economic Theory, 28, Kobayashi, T A convergence theorem on rational expectations equilibrium with price information, Working Paper No. 79, Economic Series, Institute for Mathematical Stuies in the Social Sciences, Stanfor University. Kyle,A.S Continuous auctions an insier traing, Econometrica, 53, Mahavan, A. an Panchapagesan, V Price iscovery in auction markets: A look insie the black box, Review of Financial Stuies, 13, Mahavan, A., Richarson, M. an Roomans, M Why o security prices change? A transaction-level analysis of NYSE stocks, Review of Financial Stuies, 10, Subrahmanyam, A The ex ante effects of trae halting rules on informe traing strategies an market liquiity, Review of Financial Economics, 6, Tse, Y Price iscovery an volatility spillovers in the DJIA inex an futures markets, Journal of Futures Markets, 19, Vives, X The spee of information revelation in a financial market mechanism, Journal of Economic Theory, 67,

21 Proceeings of the Institute of Statistical Mathematics Vol. 59, No. 1, (2011) 87 Quote Revisions an Price Discovery before Market Opening Wataru Ohta Grauate School of Economics, Osaka University This paper investigates the informational efficiency of preopening quotes of the Tokyo Stock Exchange by unbiaseness regression. As with other exchanges, preopening quotes reflect new information, suggesting that traers learn information from them. The larger the price change of the ay, the more frequently preopening quotes are revise. The informational efficiency of opening prices are not eteriorate by the frequency of quote revisions, implying that traers learn information from active revisions of preopening quotes on ays with large price movements. Key wors: Informational efficiency, price iscovery, preopening quote, unbiaseness regression.

Vol.57 No.4 March 2008 : () 1 () () (1 ) (2 ) ( ) 1 Takagi (1989)Hamao (1992) (1998)

Vol.57 No.4 March 2008 : () 1 () () (1 ) (2 ) ( ) 1 Takagi (1989)Hamao (1992) (1998) 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