Reform and Price Discovery at the Tokyo Stock Exchange: From 1990 to 2012

In the last two decades the Tokyo Stock Exchange implemented several important reforms in regulations, market trading mechanisms, and IT trading systems. In this book we analyze the impact of the evolution of the Tokyo Stock Exchange (TSE), at the same time discussing reforms in stock trading by related accounting standards and legal regulations. With daily stock return and market microstructure data, we analyze how these reforms have significantly influenced the pricing structure and price discovery process of traded stocks, as well as the trading style of institutional investors, individual investors, and high frequency traders. The research methodology we employ is primarily standard market microstructure tests as well as methods used in conventional empirical financial economics. We simultaneously use the most relevant concepts in these fields for our empirical tests and provide a comprehensive picture of trading, price discovery, pricing structure, and public vs. private information dissemination.

"Reform and Price Discovery at the Tokyo Stock Exchange is a lucid account of the price discovery, reforms, risks, and liquidity of the Tokyo Stock Exchange. Written by experts in the field, Kubota and Takehara, this book will enrich the perspective of any professional, policy maker, and student of the TSE." - George M. Constantinides, Leo Melamed Professor of Finance, Booth School of Business, The University of Chicago, USA

"The way we trade stocks has changed considerably over the past 20 years. While this has been a worldwide phenomenon, the changes in Japan have been especially noteworthy. I congratulate Kubota and Takehara for their thorough analysis of the Japanese reforms and their effects on the microstructure and liquidity of the Japanese stock market." - Sheridan Titman, Professor and Walter W. McAllister Centennial Chair in Financial Services, McCombs School of Business, The University of Texas at Austin, USA

"Kubota and Takehara provide an in-depth and insightful analysis of how Japanese reforms and deregulation have affected price discovery, liquidity, and risks in the stock market. This is an excellent reference book for professionals, policy makers, and students who are interested in the Japanese stock market." - Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sander Professor of Finance, Kellogg School of Management, Northwestern University, USA

Autorentext

Keiichi Kubota is Professor of Finance at Chuo University, Japan, and Professor Emeritus at Musashi University, Japan. He published four books in Japan and his research appears in the Journal of Business, Finanz Archiv, and others. He served as a board member for the Asian Finance Association.
Hitoshi Takehara is Professor of Finance at Waseda University, Japan. He published two books in Japan and his research appears in the Journal of Business, Management Science, and others. He had been a President of Nippon Finance Association from June 2010 to May 2014.

Inhalt

1. Introduction to the System of Trading at the Tokyo Stock Exchange 2. Reform and Deregulation of Financial Markets in Japan: Evolution of Law and Accounting Standards 3. Market Microstructure and Information Asymmetry Variables: The Behavior of TSE Stocks 4. Risk and Return of Tokyo Stock Exchange 5. Impact of TSE Quarterly Disclosure on Information Asymmetry 6. Price Discovery Process Before and After the Introduction of the "Arrowhead" Trading System at the Tokyo Stock Exchange