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 No.4 March 2008 : 2001 2003 1 () 1 () () 2000 12 25 2003 6 27 3 (1 ) (2 ) ( 17730202) 1 Takagi (1989)Hamao (1992) (1998) 2 2000 12 25 2003 6 27 1 2 1753 1998 4 13 () 1998 6 29 ToSTNeT-11998 8 7 ToSTNeT-2 1998 8 24 5 1999 4 30 2 Lehmann and Modest (1994) 1991 1 1991 11 1992 2 1993 4 26 1 Hamao and Hasbrouck (1995) 1990 1 1990 3 1 3 (1998) 5 1992 7 1993 6 1 Omura et al. (2000) 1998 12 1 50 Ahn et al. (2002) 2000 1 2000 3 Ohta (2006) 2001 9 2002 2 1 152 (2007) 2002 39 Ascioglu et al. (2007) 2003 1 10 1 2
March 2008 : 2001 2003 243 2000 12 25 2000 12 25 2002 11 29 3 ( 3 ) 2002 12 2 2003 6 27 3 ( 3 ) 2003 6 30 5 ( 5 ) 2001 2003 4 9 1 3 1 1 4 1 5 1 6 7 8 9 2 3 3 2000 12 25 2003 6 27 579 1753 6 7 8 1753 2001 4 2 2003 6 27 520 2000 12 25 2003 6 27 617 579 6 2001 9 12 13 14 3 9 9 30 3 (2004)
244 Vol.57 No.4 2 29 9 30 3 2001 9 14 9 2 2001 3 2001 4 FLEX 6 2001 3 4 7 8 2001 4 2 2003 6 27 520 2000 12 25 2003 6 27 1971 1 11172 439 1753 1 2 2000 12 25 2052 2003 6 27 2084 1753 85% 579 1 2 392 1753 337 86% 1753 8 1 197 1 1117 1 5 2 439 2 TOPIX 1 1 8 1 6 2 7 1 1 1 404 2143 1 6 1 13 5.6 2 8 1 2 4 3 4 1753 2000 12 25 1415 1000 282 100 2003 6 27 1304 1000 379 100
March 2008 : 2001 2003 245 1: () () 1 1 197 114063 2143.4 27.8 23566.1 404 3479 2 1 223 129117 539.3 161.8 7615.4 213 3706 3 1 223 129117 99.3 61.2 160.6 87 2737 4 1 223 129117 39.4 25.9 60.7 47 1965 5 1 224 129696 16.4 10.2 25.8 26 1404 6 1 224 129696 5.6 0.5 10.2 13 679 7 2 219 126801 13.2 2.1 238.6 16 1491 8 2 220 127380 1.0 0.1 2.1 2 526 1753 1014987 331.7 0.1 23566.1 97 3706 1: 2000 12 25 2003 6 27 579 1753 1 2 6 1 5 7 8 2 2 579 579 1 1 2 () 9 12 30 1 2 ( ) 9 11 () 12 30 15 11 15 1 11 15 15
246 Vol.57 No.4 2 5 1 1 1 4 67.5% 29.5% 1% 1 2 8 29.3%1 1 32.1% 1 4 45.4% 23.8% 1 2 27.4% 2 4 1 2 3 3 3 1 1 2 1 1 1 2
March 2008 : 2001 2003 247 2: (%) 1 114063 67.5 29.5 1.0 0.01 2.0 0.01 100 2 129117 32.9 56.4 7.8 0.1 2.8 0.01 100 3 129117 17.8 59.4 18.4 0.2 4.2 0.04 100 4 129117 11.7 58.1 24.4 0.4 5.4 0.08 100 5 129696 6.4 49.1 32.5 1.4 10.2 0.3 100 6 129696 2.8 30.3 35.4 6.6 23.0 2.0 100 7 126801 0.7 4.2 46.6 14.1 26.4 8.0 100 8 127380 0.01 0.3 11.8 29.3 26.5 32.1 100 1014987 16.8 36.1 22.5 6.5 12.7 5.4 100 2: 2000 12 25 2003 6 27 579 1753 4 1 3 1 2 1 1 3 1 17.1% 20%1 6 42.2% 40% 2 8 43.5% 26.0%1 70% 1753 579 579 579-0.77 1 60% 2 3 1% 3.0% 4.8% 2 6 1 3% 7 8 2 3%
248 Vol.57 No.4 3: (%) 1 114056 8.0 37.0 0.0 0.3 4.8 46.9 0.0 3.0 2 129101 8.7 35.8 0.1 0.2 5.4 48.0 0.1 1.9 3 129068 11.5 34.7 0.3 0.3 6.6 44.3 0.2 2.2 4 129016 14.4 33.0 0.5 0.3 7.6 40.6 0.4 3.2 5 129260 17.5 30.8 0.9 0.4 9.7 36.3 0.7 3.7 6 127084 23.1 26.2 1.4 0.4 15.0 29.0 1.1 3.7 7 116601 27.2 26.1 1.6 0.1 16.9 26.5 1.3 0.2 8 86509 43.5 15.7 1.4 0.1 26.0 12.3 0.9 0.1 960695 18.2 30.5 0.7 0.3 10.9 36.5 0.6 2.4 3: 2000 12 25 2003 6 27 579 1753 1 1 2001 2003 19.1%19.3% 17.9%18.7%15.9% 410 347 381 303 317 3 2001 2003 35.1%35.9%36.7%36.3%38.6% 2 4 2 2 36912 2 20 2 4 2 1 2 36912 2
March 2008 : 2001 2003 249 4: 2 1 2 1 2-6 7-8 197 1117 439 579 155.9 1987.4 11.8 128.0 1.1 6.0 3 2 9 2986.0 2178.3 127.7 144.0 1.3 6.2 2 20 621.3 1940.7 18.4 125.1 0.9 5.7 4: () 1 (1 )2 (2 ) () () 579 3 2 36912 2 ( 2001 9 14 ) 2 2 2.5 2 1.2 TOPIX 1 2 6 36912 2 10 2 1.5 TOPIX 2 2 2 5 5 6 6 ( 1) 1141.3 1 ( 2 6) 54.9 2 ( 7 8) 3.2 579 ( 1) 991.9 1 ( 2 6) 64.4 2 ( 7 8) 3.7 4 9 9 5 1 9 5
250 Vol.57 No.4 5: (%) 1 2 3 4 5 6 7 8 9:00 77.9 73.0 78.4 79.9 76.1 65.9 53.2 28.3 66.5 9:01 2.2 2.2 1.7 1.9 1.3 1.2 0.9 0.5 1.4 9:02 1.7 1.8 1.4 1.2 1.2 1.1 0.8 0.4 1.2 9:03 1.4 1.5 1.1 1.1 1.0 1.0 0.7 0.4 1.0 9:04 1.2 1.4 1.1 1.0 0.9 0.8 0.7 0.4 0.9 9:05 10.1 11.9 9.3 8.1 8.3 8.3 7.0 3.9 8.4 9:06 0.8 1.0 0.7 0.6 0.7 0.7 0.7 0.4 0.7 9:07 0.5 0.7 0.5 0.5 0.6 0.6 0.6 0.4 0.6 9:08 0.4 0.5 0.4 0.4 0.4 0.5 0.6 0.4 0.5 9:09 0.3 0.4 0.4 0.3 0.4 0.4 0.5 0.4 0.4 9:10 2.0 2.9 2.2 1.9 2.1 2.6 2.6 1.7 2.3 9:11 0.2 0.4 0.3 0.3 0.3 0.4 0.5 0.4 0.3 9:12 1.3 2.5 2.4 2.9 5.4 10.7 16.4 18.2 7.5 0.01 0.1 0.1 0.3 1.0 3.7 7.0 12.2 3.1 0.01 0.01 0.04 0.1 0.3 2.0 8.0 32.1 5.4 100 100 100 100 100 100 100 100 100 5: 2000 12 25 2003 6 27 579 1753 1,014,987 9:00 9:11 1 9 12 9:12 9 0 9 0 0 9 1 0 9 1 1 9 9 1 9 5 2% 9 10 1 9 5 5 5 9 0 77.9%9 5 10.1% 9 5 94.1% 12 30 12
March 2008 : 2001 2003 251 6: (%) 1 114063 97.0 0.0 2.9 0.1 0.0 0.0 0.01 100 2 129117 89.5 0.1 9.7 0.8 0.01 0.0 0.01 100 3 129117 77.7 0.2 20.9 1.2 0.02 0.0 0.02 100 4 129117 71.1 0.5 26.8 1.5 0.06 0.0 0.02 100 5 129696 59.3 1.9 35.9 2.5 0.3 0.04 0.02 100 6 129696 41.5 7.8 43.2 5.5 1.5 0.4 0.1 100 7 126801 5.5 16.0 58.7 11.7 5.8 2.0 0.2 100 8 127380 0.8 25.0 24.6 17.6 20.3 10.4 1.4 100 1014987 54.9 6.5 28.2 5.2 3.5 1.6 0.2 100 6: 2000 12 25 2003 6 27 579 1753 15 30 1 8 98.6%95.9%90.8%84.8%72.8%56.5% 43.2%18.6% 1 1 90% 2 12 30 50% 1 8 0%0.03%0.2%0.3%1.1% 4.9%15.6%43.5% 5 1
252 Vol.57 No.4 6 1 1 1 1 6 41.5% 15 43.2% 6 14 59 4.5% 14 0 14 58 35.4% 16.6%2 1 1 6 2 1 8 17.6% 20.3% 37.9% 2 7 6 1 17.5%1 97.0% 6 7.0% 2.9% 2 1 2.5% 1 14 59 3
March 2008 : 2001 2003 253 6 1753 2000 12 2003 6 7 8 2001 3 59 2001 4 520 798,935 2001 3 2001 2001 4 2 2003 6 27 520 1 95.8 0.003 2.3 2.4% 1 8 3.0%2.5%1.3% 0.9%0.5%0.3%0.7%0.2% 3 30 2001 4 2 2000 12 25 2001 3 30 1 39.2 1417 0.4% 1 1 1 7 1753 2001 4 2 2003 2001 3 30 2001 4 2 6 27 520 2000 12 25 2001 3 30 336 1 1 0.09% 2 2001 4 2001 4
254 Vol.57 No.4 7: (%) () 1 1 1 102440 882.0 51.2 2.6 27.6 5.4 13.2 100 2 115960 496.5 55.1 2.0 28.4 5.8 8.7 100 3 115960 222.3 60.0 1.4 27.3 4.5 6.8 100 4 115960 128.7 63.8 1.3 25.0 3.8 6.1 100 5 116480 82.0 69.6 1.6 20.9 2.9 5.1 100 6 116480 43.7 74.4 1.1 17.6 2.3 4.6 100 7 113880 31.5 54.3 0.3 35.2 5.1 5.1 100 8 114400 3.6 61.1 0.0 30.6 5.6 2.8 100 911560 227.4 55.8 2.1 27.2 5.1 9.9 100 7: 2001 4 2 2003 6 27 520 1753 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 1 1 1 2 7 1 55.8% 1 27.2% 83.0% 5.1% 12.0%
March 2008 : 2001 2003 255 798,935 7 1 8 5, 10, 2, 1, 3, 3, 4, 0 28 53 1 60 2001 4 2 2003 6 27 520 1753 8 798,935 111,326 13.9% 1 9 12 8 30 2.4%8.6%13.3%15.5%18.5% 120 150 19.6%21.4%12.0% 270 8 3 1 1 25 5 9.5 1 21.1% 2 5 5 59.0%10 6 77.1% 6 5 15.6% 5
256 Vol.57 No.4 (%) 8: () 1 2 3 4 5 6 1 102425 268.5 73.9 16.8 4.9 2.1 1.0 1.4 0.0 0.0 2 115892 267.5 54.0 20.7 9.4 5.3 3.2 7.4 0.0 0.0 3 115762 265.9 44.9 20.8 10.8 6.5 4.2 12.8 0.0 0.0 4 115451 263.3 36.0 21.4 12.5 7.7 5.2 17.2 0.0 0.0 5 114444 255.2 26.1 20.0 13.5 8.7 6.2 25.2 0.2 0.0 6 105951 239.2 19.5 18.7 14.8 10.1 7.4 29.2 0.3 0.0 7 87133 221.9 16.4 13.0 9.8 8.8 8.8 42.3 0.7 0.0 8 41877 180.2 10.6 11.6 10.1 9.8 10.7 44.9 2.2 0.1 798935 251.7 37.7 18.6 10.9 7.1 5.4 20.0 0.3 0.0 8: 2001 4 2 2003 6 27 520 1753 1 1 25 2 5 6 6 8 2 8 0.1% 2.2% 8 1 1 73.9% 3 10% 1 6 1 19.5%6 29.2% 37.7% 1 1 7 2 8 4 5 6 8 9 6 Ohta (2006) Ascioglu et al. (2007)
March 2008 : 2001 2003 257 9: (%) () 1 2 3 4 5 6 1 102425 407.6 78.4 13.4 4.3 1.9 0.9 1.1 0.0 0.0 2 115892 212.8 60.9 17.9 8.2 4.7 2.9 5.4 0.0 0.0 3 115762 86.0 53.8 18.0 9.2 5.7 3.9 9.4 0.0 0.0 4 115451 45.1 47.8 18.7 10.3 6.5 4.5 12.1 0.0 0.0 5 114444 24.0 39.3 18.3 11.5 7.7 5.5 17.5 0.1 0.1 6 105951 11.7 34.7 18.3 12.7 8.8 6.4 18.8 0.2 0.1 7 87133 18.7 22.6 14.0 9.9 8.9 9.9 34.1 0.5 0.1 8 41877 3.8 18.5 14.0 11.0 10.2 11.8 33.1 1.5 0.1 798935 109.3 47.2 16.9 9.5 6.5 5.1 14.5 0.2 0.1 9: 2001 4 2 2003 6 27 520 1753 1 1 25 2 5 6 6 8 1 1 25 2 5 6 6 8 9 99% 1 1 78.4%6 1.1%1 6 1 34.7% 6 18.8% 2 7 8 8 4 5
258 Vol.57 No.4 10: (%) () 0 1 2 3 4 5 6 1 102425 407.6 55.5 38.8 3.8 1.0 0.4 0.2 0.2 2 115892 212.8 47.8 40.0 6.5 2.4 1.3 0.9 1.1 3 115762 86.0 47.3 37.5 7.2 3.0 1.7 1.3 1.9 4 115451 45.1 46.3 36.1 7.9 3.5 2.1 1.6 2.4 5 114444 24.0 44.2 34.0 8.9 4.4 2.8 2.3 3.4 6 105951 11.7 43.7 33.0 9.7 5.3 3.5 3.0 1.8 7 87133 18.7 44.8 28.0 8.4 4.4 3.8 5.2 5.4 8 41877 3.8 48.6 25.5 8.6 5.2 4.4 6.1 1.6 798935 109.3 47.2 35.1 7.6 3.5 2.3 2.2 2.2 10: 2001 4 2 2003 6 27 520 1753 0 5 6 8 9 1 1 6 1 2 7 8 1 6 10 0 5 6 1 55.5% 38.8% 1 3 1.8%1 6 43.7% 7 2002 3 6 1998 2002 3 7 10 1 5 6 8 0% 100%
March 2008 : 2001 2003 259 11: (%) TOPIX (%) () 2001/06-2001/08-15.8 78637 392.6 24.5 12.4 12.6 24.4 25.7 0.4 100 2001/09-2002/11-4.8 72993 390.1 25.0 12.3 11.7 25.7 25.1 0.3 100 2001/12-2002/02-3.5 66744 369.6 23.8 13.2 12.3 24.3 26.1 0.3 100 2002/03-2002/05 10.5 76112 456.4 24.3 11.8 10.8 26.4 26.4 0.3 100 2002/06-2002/08-15.9 79909 370.5 23.6 13.9 11.8 23.9 26.5 0.3 100 2002/09-2002/11-5.2 75198 328.2 22.4 13.6 9.6 25.5 28.7 0.3 100 2002/12-2003/02-8.3 68945 310.5 20.4 14.3 10.3 23.4 31.4 0.3 100 2003/03-2003/05 2.3 76612 340.1 21.5 14.4 9.1 23.6 31.1 0.4 100 11: 2001 6 2003 5 3 1 1 6 6 1 1 11 2002 3 3 1 6 6 1 1 10 0 11 1
260 Vol.57 No.4 80% 11 3 6 1% TOPIX 55%1 40% 3 3 2002 3 2% 6 8 11.8% 1 TOPIX 1 13 5.6 1 4 3% 1 40% 9 66%16% 9 10 40% 40% 9 2001 2003 1 20%6 30% 35% 1 6 20% 1 40% 404 2143 2 70% 1 4 30% 36912 2 20 TOPIX 20% 80% 9 10 10% 9 5 97% 1 2 70% 3 10% 1 15
March 2008 : 2001 2003 261 1 70% 40% 1 8 Ahn, H. J., J. Cai, Y. Hamao, and R. Y. K. Ho (2002) The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange, Journal of Empirical Finance 9, 339-430. Ascioglu, A., C. Comerton-Forde, and T. H. McInish (2007) Price Clustering on the Tokyo 8 Ahn et al. (2002) (2007) Stock Exchange, Financial Review 42, 289-301. Hamao, Y. (1992) Tokyo Stock Exchange, In: Newman, P., Milgate, M., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance, Macmillan Press, London, 664-886. Hamao, Y., and J. Hasbrouck (1995) Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange, Review of Financial Studies 8, 849-878. Lehmann, B. N., and D. M. Modest (1994) Trading and Liquidity on the Tokyo Stock Exchange: A Bird s Eye View, Journal of Finance 44, 951-984. Ohta, W. (2006) An Analysis of Intraday Patterns in Price Clustering on the Tokyo Stock Exchange, Journal of Banking and Finance 30, 1023-1039. Omura, K., Y. Tanigawa, and J. Uno, (2000) Execution Probability of Limit Orders on the Tokyo Stock Exchange, Mimeo. Takagi, S. (1989) The Japanese Equity Market: Past and Present, Journal of Banking and Finance 13, 537-570. (2007) IR No. 22, 97-113. (2004) 52, 2, 21-40. (1998)
262 Vol.57 No.4 Stock Trading on the Tokyo Stock Exchange from 2001 to 2003 Wataru Ohta This paper gives an outline of stock trading on the Tokyo Stock Exchange from 2001 to 2003. The Tokyo Stock Exchange is a limit order market, and adopts both call auctions at opening and closing and continuous auctions between opening and closing. For actively traded stocks, more orders are executed by continuous auctions than by call auctions, closing prices are formed more often by closing call auction than continuous auctions, the spreads are tight during continuous auctions, and most transactions take place at the previous prices. For the most actively traded stocks which are the components of Nikkei 225, more than 80% of transactions are executed by continuous auctions, 97% of closing prices are formed by closing call auctions, the spread is one tick more than 70% during continuous auction, and 55% of transactions take place at the previous prices. On the other hand, for the least actively traded stock listed in the first section, less than 60% of transactions are executed by continuous auctions, 40% of closing prices are formed by closing call auctions, the spread is one tick less than 20% during continuous auction, and 45% of transactions take place at the previous prices. JEL Classification: G20; G24 Keywords: Tokyo Stock Exchange; Tick data; Stock trading