NAOSITE: Nagasaki University's Ac Title 先物市場における高速取引が現物市場の流動性に与える影響 Author(s) 森保, 洋 Citation 経営と経済, 95(3-4), pp.95-115; 2016 Issue Date 2016-03-25 URL http://hdl.handle.net/10069/36324 Right This document is downloaded http://naosite.lb.nagasaki-u.ac.jp
ocæoï æ95ª ær S 2016NRŽ
æ sêé é æøª» sêì «É^ ée 95 Abstract Osaka Stock Exchange introduced J-GATE, a newly trading platform for derivative trading on February By using the introduction as an exogenous event that increases high-frequency trading in the futures market, this paper investigates whether high-frequency trading in futures market improve its spot market liquidity. The empirical results provide the evidence that high-frequency trading improve spot market liquidity in terms of spread measures. However, the results find that the market depth in the spot market is not improved by the high-frequency trading. Keywords: market microstructure, stock liquidity, Nikkei futures arrowhead J-GATE
96 o c Æ o Ï J-GATE J-GATE Hendershott et al. Xetra
æ sêé é æøª» sêì «É^ ée 97 Riordan and Storkenmaier Hendershott et al. Arrowhead Lee KOSPI Frino et al.
98 o c Æ o Ï J-GATE J-GATE J-GATE J-GATE J-GATE Nasdaq Click XT J-GATE J-GATE J-GATE httpwww ose or jp derivative J-GATE httpwww ose or jp derivative
æ sêé é æøª» sêì «É^ ée 99 J-GATE J-GATE mini J-GATE J-GATE J-GATE mini mini
100 o c Æ o Ï mini J-GATE J-GATE J-GATE ETF REIT J-GATE J-GATE mini
æ sêé é æøª» sêì «É^ ée 101 i ask i,bid i mid i i qspread i qspread i ask i bid i mid i i p i i espread i espread i q i p i mid i mid i q i i Nasdaq KurovAhn et al Ascioglu et al.
102 o c Æ o Ï i qs i,qb i depth i depth i qs i ask i qb i bid i depth i depth i qs i j ask i j qb i j bid i j j ask i j bid i j j qs i j qb i j ask i j bid i j i rspread i rspread i q i p i mid i min mid i mid i min i
æ sêé é æøª» sêì «É^ ée 103 i advsel i advsel i q i mid i min mid i mid i
104 o c Æ o Ï winsorize J-GATE J-GATE J-GATE J-GATE J-GATE J-GATE mini J-GATE mini J-GATE
æ sêé é æøª» sêì «É^ ée 105 J-GATE mini FNTRADE FQUPDATE FNTRADE FQUPDATE FNTRADE, FQUPDATE J-GATE Wilcoxon J-GATE J-GATE J-GATE J-GATE J-GATE J-GATE
106 o c Æ o Ï J-GATE mini mini REGULAR T REGULAR Q MINI T MINI Q mini mini J-GATE
æ sêé é æøª» sêì «É^ ée 107 Panel A J-GATE J-GATE Panel B Panel C BPS BPS BPS BPS J-GATE Panel D Panel E J- GATE J- GATE
108 o c Æ o Ï Panel F Panel G BPS BPS J-GATE J-GATE TVAL t JGATE t VXJ t MTRTY t i t TVAL t VXJ t VIX Volatility Index Japan MTRTY t SQ
æ sêé é æøª» sêì «É^ ée 109 J-GATE mini mini VARIABLES FNTRADE FQUPDATE FTQRATIO FNTRADE FQUPDATE FTQRATIO JGATE VXJ MTRTY Constant Observations Adjusted R-squared FNTRADE, FQUPDATE, FTQRATIO J-GATE JGATE J-GATE VXJ t JGATE t J-GATE VXJ t JGATE
110 o c Æ o Ï t J-GATE mini t J-GATE J-GATE J-GATE liq i t JGATE t NK i JGATE t NK i INVPRC i t SIZE i t TURN i t VOLA i t MTRTY t i t liq i t i t JGATE t J- GATE NK i INVPRC i t SIZE i t TURN i t VOLA i t i t
æ sêé é æøª» sêì «É^ ée 111 NTRADE JGATE t J-GATE J-GATE VARIABLES NTRADE QSPREAD ESPREAD DEPTH DEPTH RSPREAD ADVSEL JGATE NK JGATE NK INVPRC SIZE TURNOVER VOLA MTRTY Constant Observations Adjusted R-squared NTRADE, QSPREAD, ESPREAD, DEPTH DEPTH RSPREAD, ADVSEL JGATE, NK INVPRC, SIZE, TURNOVER, VOLA, MTR- TY, Constant J-GATE cluster-robust
112 o c Æ o Ï JGATE NK t J-GATE JGATE t J-GATE JGATE NK t JGATE t JGATE NK t J-GATE JGATE NK J-GATE J-GATE NK t J-GATE JGATE JGATE NK t J- GATE NK t
æ sêé é æøª» sêì «É^ ée 113 INVPRC SIZE TURNOVER VOLA SQ MTRTY J-GATE J-GATE J-GATE J-GATE
114 o c Æ o Ï J-GATE J-GATE J-GATE J-GATE
æ sêé é æøª» sêì «É^ ée 115 Ahn,H.,Cai,J.,Chan,K.,Hamao,Y., Tick size change and liquidity provision on the Tokyo Stock Exchange. J. Jpn. Int. Econdoij jjie Ascioglu, A., Comerton-Forde, C., McInish, T.H., An examination of minimum tick sizes on the Tokyo Stock Exchange. Japan World Econ doij japwor Frino, A., Mollica, V., Webb, R.I., TheImpactofCo-LocationofSecuritiesExchanges' and Traders' Computer Servers on Market Liquidity. J. Futur. Mark doifut Hendershott, T., Jones, C.M., Menkveld, A J., Does Algorithmic Trading Improve Liquidity J. Finance doij x Kurov, A., Tick size reduction, execution costs, and informational efficiency in the regular and E-mini Nasdaq index futures markets. J. Futur. Mark doifut Lee, E J., High frequency trading in the Korean index futures market. J. Futur. Mark doifut Riordan, R., Storkenmaier, A., Latency, liquidity and price discovery. J. Financ. Markdoij finmar
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