文档介绍：Securities Trading in the
Absence of Dealers:
Trades, and Quotes on the
Tokyo Stock Exchange
Yasushi Hamao
Columbia University
Joel Hasbrouck
New York University
This article investigates the behavior of intra-
day trades and quotes for individual stocks on
the Tokyo Stock Exchange (TSE). We examine the
transaction and quote record for three firms for
the first 3 months of 1990. Our findings suggest
that the immediacy available (at least for small
trades) in the market is high, despite the re-
liance on public limit orders to supply liquidity.
When orders that would otherwise walk through
the limit order book are converted into limit or-
ders, execution is delayed; but some orders exe-
cute (at least in part) at more favorable prices.
We thank the Tokyo Stock Exchange for providing the data, Hiroshi Naka-
mura, Masao Takamori, and Hidekazu Tominaga of the Exchange for many
useful conversations regarding the trading system, and Meng Tan for re-
search assistance. We also thank James Angel, Thomas e, Bruce
Lehmann, Francis Longstaff, Ananth Madhavan, Mark Ready, Richard Roll,
William Sharpe, an anonymous referee, and Chester Spatt (the editor) for
helpful discussions ments. Previous versions of this paper have
been presented at the American Finance Association Meetings in Boston,
Columbia-NYU joint workshop, University of California at Los Angeles,
Dartmouth College, Federal Reserve Bank of Atlanta Financial Markets Con-
ference, Federal Reserve Bank of New York, Hitotsubashi University, Japan
Association for Financial Economics, Korea Securities
McGill University, Ohio State University, Stanford University, Seoul Na-
tional University, State University of New York at Buffalo, University of
Tokyo, University of Western Ontario, University of Wisconsin
and the Western Finance Association Meetings in Whistler. Yasushi Hamao
gratefully acknowledges support from Batterymarch Fellowship and Mit-
subishi Trust and Banking Professorship