일본 주식시장의 유동성 동행화에 관한 연구

Liquidity Commonality in the Japanese Stock Market

Although previous market microstructure research has traditionally investigated individual assets, the present study focuses on commonality in liquidity for the Japanese stock market. Using intraday TAQ (Trade and Quote) data from the Tokyo Stock Exchange (TSE) for the period 1999 to 2005, we construct nine daily liquidity measures and analyze the phenomenon of commonality in liquidity for each measure. The empirical results indicate that liquidity co-movements are more likely in the Japanese stock market than the U.S. stock market, where designated market makers exist. In addition, the results of an analysis by firm size suggest that commonality in liquidity is weaker for large firms than for small firms, which is inconsistent with the empirical findings of Chordia et al.(2000), who examine the commonality in liquidity for the New York Stock Exchange (NYSE). This may be attributed in part to differences in the market structure between Japan, an order-driven market, and the U.S., a quote-driven (or hybrid) market.