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.
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© 2015 Keiichi Kubota & Hitoshi Takehara
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Kubota, K., Takehara, H. (2015). Market Microstructure and Information Asymmetry Variables: The Behavior of TSE Stocks. In: Reform and Price Discovery at the Tokyo Stock Exchange: From 1990 to 2012. Palgrave Pivot, New York. https://doi.org/10.1057/9781137540393_3
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DOI: https://doi.org/10.1057/9781137540393_3
Publisher Name: Palgrave Pivot, New York
Print ISBN: 978-1-349-50700-9
Online ISBN: 978-1-137-54039-3
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