Transaction Pattern and Liquidity Parameters (in Japanese)

Hisashi Hashimoto ()
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Hisashi Hashimoto: Graduate School of Economics, Osaka University

No 05-25, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper introduces probability which represents symmetry transaction pattern into Roll [1984] and shows that the second autocorrelation for stock fs return is not necessarily zero. Glosten/Harris [1988] considers trader who symmetrically trades as information trader. Then I examine the relation between probability which represents symmetry transaction pattern and liquidity parameter (effective spread, average volume). The result are consistent with Glosten/Harris [1988].

Keywords: autocorrelation; Ceffective; spread; Cliquidity (search for similar items in EconPapers)
JEL-codes: G14 G19 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2005-09
New Economics Papers: this item is included in nep-fin
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