SECURITIES TRADING IN THE ABSENCE OF DEALERS - TRADES AND QUOTES ON THE TOKYO STOCK-EXCHANGE

This article investigates the behavior of intraday trades and quotes f or individual stocks on the Tokyo Stock, Exchange (TSE). We examine th e transaction and quote record for three firms for the first 3 months of 1990. Our findings suggest that the immediacy available (at least f or small trades) in the market is high despite the reliance on Public limit orders to supply liquidity. When orders that would otherwise wal k, through the limit order book are converted Into limit orders, execu tion is delayed, but some orders execute (at least in part) at more fa vorable prices.