NDLI: Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-Tick Data of the Tokyo Stock Exchange

Content Provider	Semantic Scholar
Author	Muranaga, Jun
Copyright Year	1999
Abstract	The purpose of this study is to study dynamic aspects of market liquidity of Japanese stocks. We use tick-by-tick data of the individual stocks listed on the first section of the Tokyo Stock Exchange (TSE) and examine three indicators of market liquidity corresponding to Kyle’s three concepts of market liquidity: tightness, depth, and resiliency. The first indicator is the bid-ask spread, the difference between the best bid and ask prices. The second is market impact, calculated as quote changes triggered by trade execution divided by the corresponding trade volume. And the third is market resiliency, the convergence speed of the bid-ask spread after trades. We conduct a cross-sectional analysis over a sample period from October 2 1995 to September 3
Starting Page	1
Ending Page	25
Page Count	25
File Format	PDF HTM / HTML
Volume Number	11
Alternate Webpage(s)	https://www.imes.boj.or.jp/research/papers/english/99-E-16.pdf
Alternate Webpage(s)	https://www.bis.org/publ/cgfs11muran.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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