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Rev Fin 1995; 8:849-878
© 1995 the Society for Financial Studies

Article

Securities trading in the absence of dealers: trades and quotes on the Tokyo Stock Exchange

Y Hamao1 and J Hasbrouck2
1 Columbia University, New York, USA
2 Stern School of Business, New York University, 44 West Fourth St., New York, NY 10012, USA

Abstract

This article investigates the behaviour of intraday trades and quotes for individual stocks on the Tokyo Stock Exchange (TSE). We examine the transaction and quote record for three firms for the first 3 months of 1990. Our findings suggest that the immediacy available (at least for small trades) in the market is high, despite the reliance on public limit orders to supply liquidity. When orders that would otherwise walk through the limit order book are converted into limit orders, execution is delayed, but some orders execute (at least in part) at more favorable prices.


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