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

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. 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 Front Matter....Pages i-xvi Introduction to the Trading System at the Tokyo Stock Exchange....Pages 1-12 Reform and Deregulation of Financial Markets in Japan: Evolution of Law and Accounting Standards....Pages 13-25 Market Microstructure and Information Asymmetry Variables: The Behavior of TSE Stocks....Pages 26-41 Risk and Return on the Tokyo Stock Exchange....Pages 42-60 Impact of TSE Quarterly Disclosure on Information Asymmetry....Pages 61-87 Price Discovery Process Before and After the Introduction of the “arrowhead” Trading System at the Tokyo Stock Exchange....Pages 88-107 Epilogue....Pages 108-108 Back Matter....Pages 109-111