Illiquidity in the Japan Electric Power Exchange
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009.
"High idiosyncratic volatility and low returns: International and further U.S. evidence,"
Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
- Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005.
"A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
- Copeland, Thomas E & Galai, Dan, 1983. "Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-1469, December.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, vol. 159(1), pages 235-250, November.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
- Amihud, Yakov & Mendelson, Haim, 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
- David Roodman, 2009.
"How to do xtabond2: An introduction to difference and system GMM in Stata,"
Stata Journal, StataCorp LP, vol. 9(1), pages 86-136, March.
- David Roodman, 2006. "How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata," Working Papers 103, Center for Global Development.
- F. M. Bandi & J. R. Russell, 2008. "Microstructure Noise, Realized Variance, and Optimal Sampling," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(2), pages 339-369.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Tarun Chordia & Sahn-Wook Huh & Avanidhar Subrahmanyam, 2009. "Theory-Based Illiquidity and Asset Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3629-3668, September.
- Shin S. Ikeda, 2015. "Two-Scale Realized Kernels: A Univariate Case," Journal of Financial Econometrics, Oxford University Press, vol. 13(1), pages 126-165.
- Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
- Schultz, Paul, 2000. "Regulatory and Legal Pressures and the Costs of Nasdaq Trading," The Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 917-957.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Yakov Amihud & Haim Mendelson, 2012.
"Liquidity, the Value of the Firm, and Corporate Finance,"
Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(1), pages 17-32, March.
- Yakov Amihud & Haim Mendelson, 2008. "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 32-45, March.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Haller, Andreas & Stoll, Hans R., 1989. "Market structure and transaction costs: Implied spreads in the German stock market," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 697-708, September.
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Foucault, Thierry & Pagano, Marco & Roell, Ailsa, 2013.
"Market Liquidity: Theory, Evidence, and Policy,"
OUP Catalogue,
Oxford University Press, number 9780199936243.
- Thierry Foucault & Marco Pagano & Ailsa Röell, 2013. "Market Liquidity: Theory, Evidence and Policy," Post-Print hal-00793694, HAL.
- Mitchell A. Petersen, 2009.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 435-480, January.
- Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
- Kazuhiko Hayakawa, 2009. "First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study," Economics Bulletin, AccessEcon, vol. 29(3), pages 2008-2017.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
- Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
- Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
- Crack, Timothy Falcon & Ledoit, Olivier, 1996. "Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market," Journal of Finance, American Finance Association, vol. 51(2), pages 751-762, June.
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Tarun Chordia, 2005. "An Empirical Analysis of Stock and Bond Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 85-129.
- Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
- Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
- Shin S. Ikeda, 2015. "Illiquidity in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 15-04, National Graduate Institute for Policy Studies.
- Jieun Lee, 2018. "Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?," Working Papers 2018-3, Economic Research Institute, Bank of Korea.
- Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
- Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Auer, Benjamin R. & Rottmann, Horst, 2019.
"Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?,"
Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
- Benjamin R. Auer & Horst Rottmann, 2018. "Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?," CESifo Working Paper Series 7204, CESifo.
- Auer, Benjamin R. & Rottmann, Horst, 2018. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Weidener Diskussionspapiere 64, University of Applied Sciences Amberg-Weiden (OTH).
- Canarella, Giorgio & Miller, Stephen M., 2018.
"The determinants of growth in the U.S. information and communication technology (ICT) industry: A firm-level analysis,"
Economic Modelling, Elsevier, vol. 70(C), pages 259-271.
- Giorgio Canarella & Stephen M. Miller, 2017. "The Determinants of Growth in the Information and Communication Technology (ICT) Industry: A Firm-Level Analysis," Working papers 2017-12, University of Connecticut, Department of Economics.
- Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
- José Carlos Coelho & José Alves, 2021. "How inequality drives growth: an investigation of the transmission channels for OECD countries," Working Papers REM 2021/0194, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005.
"Market microstructure: A survey of microfoundations, empirical results, and policy implications,"
Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
- Zheng, Xinye & Li, Fanghua & Song, Shunfeng & Yu, Yihua, 2013.
"Central government's infrastructure investment across Chinese regions: A dynamic spatial panel data approach,"
China Economic Review, Elsevier, vol. 27(C), pages 264-276.
- Zheng, Xinye & Li, Fanghua & Song, Shunfeng & Yu, Yihua, 2013. "Central Government's Infrastructure Investment across Chinese Regions: A Dynamic Spatial Panel Data Approach," MPRA Paper 50407, University Library of Munich, Germany.
- Martin Andersson & Hans Lööf, 2009.
"Learning‐by‐Exporting Revisited: The Role of Intensity and Persistence,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(4), pages 893-916, December.
- Andersson, Martin & Lööf, Hans, 2008. "Learning-by-Exporting Revisited - the role of intensity and persistence," Working Paper Series in Economics and Institutions of Innovation 149, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Tadadjeu, Sosson & Njangang, Henri & Asongu, Simplice A. & Kamguia, Brice, 2023.
"Natural resources, child mortality and governance quality in African countries,"
Resources Policy, Elsevier, vol. 83(C).
- Sosson Tadadjeu & Henri Njangang & Simplice A. Asongu & Brice Kamguia, 2021. "Natural resources, child mortality and governance quality in African countries," Working Papers of the African Governance and Development Institute. 21/027, African Governance and Development Institute..
- Sosson Tadadjeu & Henri Njangang & Simplice A. Asongu & Brice Kamguia, 2021. "Natural resources, child mortality and governance quality in African countries," Working Papers 21/027, European Xtramile Centre of African Studies (EXCAS).
- Tadadjeu, Sosson & Njangang, Henri & Asongu, Simplice & Kamguia, Brice, 2021. "Natural resources, child mortality and governance quality in African countries," MPRA Paper 110597, University Library of Munich, Germany.
- Sosson Tadadjeu & Henri Njangang & Simplice A. Asongu & Brice Kamguia, 2021. "Natural resources, child mortality and governance quality in African countries," Research Africa Network Working Papers 21/027, Research Africa Network (RAN).
- Hu, Juncheng, 2021. "Do facilitation payments affect earnings management? Evidence from China," Journal of Corporate Finance, Elsevier, vol. 68(C).
- Abdelraouf, Nadine & Noureldin, Diaa, 2022. "The impact of the exchange rate regime on the dispersion of the price-change distribution: Evidence from a large panel of countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eti:dpaper:17122. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: TANIMOTO, Toko (email available below). General contact details of provider: https://edirc.repec.org/data/rietijp.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.