Market Microstructure and Information Asymmetry Variables: The Behavior of TSE Stocks

Keiichi Kubota and Hitoshi Takehara
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Keiichi Kubota: Chuo University
Hitoshi Takehara: Waseda University

Chapter 3 in Reform and Price Discovery at the Tokyo Stock Exchange: From 1990 to 2012, 2015, pp 26-41 from Palgrave Macmillan

Abstract: Abstract In Chapter 3 we begin our discussion by introducing the basic concepts used in analyzing price discovery processes and we define the market microstructure variables used in Chapters 5 and 6. The first part of the chapter defines and explains information asymmetry and liquidity-related variables. By using these variables, we gain a bird’s-eye view of the Tokyo Stock Exchange, focusing on the changes that arose during the launch of the arrowhead system. We also refer the reader to the Chapter 3 Appendix, which explains the minimum required level of market microstructure measures used in this book.

Keywords: Arrival Rate; Asset Price; Information Asymmetry; Trading Volume; Price Discovery (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-54039-3_3

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DOI: 10.1057/9781137540393_3

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