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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
http://hdl.handle.net/10069/36324
http://hdl.handle.net/10069/363241dd86422-d4ba-4443-82e7-8498b6824e5f
名前 / ファイル | ライセンス | アクション |
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Keizai95_3_95.pdf (867.6 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2016-04-05 | |||||
タイトル | ||||||
タイトル | 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 | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | market microstructure | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | stock liquidity | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Nikkei 225 futures | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
森保, 洋
× 森保, 洋 |
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著者別名 | ||||||
姓名 | Moriyasu, Hiroshi | |||||
その他のタイトル | ||||||
その他のタイトル | The Effect of High-frequency Trading in Stock Index Futures Market on the Spot Market Liquidity | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Osaka Stock Exchange introduced J-GATE, a newly trading platform for derivative trading on February 2011.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. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 長崎大学経済学部創立110周年記念論文集 | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Essays in Commemoration of the 110th Anniversary of the Faculty of Economics, Nagasaki University | |||||
書誌情報 |
経営と経済 en : Journal of Business and Economics 巻 95, 号 3-4, p. 95-115, 発行日 2016-03-25 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 02869101 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00069150 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
出版者 | ||||||
出版者 | 長崎大学経済学会 | |||||
出版者別言語 | ||||||
Economics Society of Nagasaki University | ||||||
sortkey | ||||||
06 | ||||||
引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 経営と経済, 95(3-4), pp.95-115; 2016 |