Roles of Securities Houses for Market Incompleteness and Asset Pricing

在1998年12月取消指定交易所的强制交易后，交易员开始使用东京证券交易所大厅以外的其他场所进行证券交易，例如东京证券交易所的非交易时间交易和场外交易。这主要是因为监管的变化使得提供其他交易场所成为可能，但有证据表明，许多代理商开始寻找利用这一机会的方法。一场交易场所的竞争开始了。我在2000年的《投资》（Investment）杂志上的“作为贸易场所的交易所之间的竞争及其福利影响”一文中总结了这一运动对福利的影响。东京证交所是一个纯粹由订单驱动的市场，流动性的唯一来源是账面上的限价订单。当交易者选择一种类型的订单时，无论是市场订单还是限价订单，她都会将限价订单提供的价格收益与一天内不执行的可能性进行比较。根据1998年12月的初步逐点数据，我估计了限价单的执行概率，并在一篇讨论论文《限价单的执行概率》中报告了结果。大多数交易的金融证券是由公司发行的。股东有权对公司拥有一些控制权，以及对公司现金流的一些索取权。什么样的证券公司经理决定公开发行，金融中介机构提供什么样的服务，是市场参与者关注的问题。我在《2000年金融分析进展》一书的第五章“公司治理”中回顾了这些观点，并在1999年发表在《现代经济学》杂志上的一篇文章“公司理论的最新发展”中回顾了这些观点。这些都是研究交易场所如何供应的必要因素，因为这决定了交易证券的特征。

After the demolition of obligatory trades at the designated exchanges in December 1998, traders became to use other places for securities trading than the floor at the Tokyo Stock Exchange, such as off-the-hour trades at the TSE and off-the-exchange trades. This is primarily because of the regulatory change that made it possible to provide alternative places to trade, but it is evidence that many agents started to search the way to utilize this opportunity. A competition for trading places began. I summarized welfare implications of this movement in "Competition among exchanges as a place for trade and its welfare implications, " in Investment 2000.The TSE is a purely order-driven market, where the only source of the liquidity is the limit orders on the book. When a trader chooses a type of orders, either market or limit, she compares price gain the limit order provides with a possibility that it might not be executed within a day. With preliminary tick-by-tick data of December 1998, I estimated the execution probabilities of limit orders, and reported the results in a discussion paper, "Execution Probabilities of Limit Orders."Most of traded financial securities are those issued by corporations. Holders are entitled to have some rights to control the firm, as well as some claims in cash flows of it. It is a concern of market participants what kind of securities corporate managers decide to circulate publicly, and what kinds of services financial intermediaries provide. I review these points in the fifth chapter "Corporate Governance" of the book, Advances in Financial Analysis 2000, and in an article "Recent Development of Theories of Firms, " published in Gendai Fainansu 1999. These are necessary ingredients to study how a trading place is supplied, because this determines the characteristics of the securities traded.