Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange
研究东京证券交易所个股的日内交易与报价行为，发现尽管依赖公众限价订单提供流动性，市场（至少对小额交易）仍能提供较高的即时性。
Yasushi HamaoColumbia UniversityJoel HasbrouckNew York UniversityThis article investigates the behavior of intra-day trades and quotes for individual stocks onthe Tokyo Stock Exchange (TSE). We examine thetransaction and quote record for three firms forthe first 3 months of 1990. Our findings suggestthat the immediacy available (at least for smalltrades) in the market is high, despite the re-liance on public limit orders to supply liquidity.When orders that would otherwise walk throughthe limit order book are converted into limit or-ders, execution is delayed; but some orders exe-cute (at least in part) at more favorable prices.