Securities trading in the absence of dealers: trades and quotes on the Tokyo Stock Exchange

This article investigates the behaviour of intraday trades andquotes for individual stocks on the Tokyo Stock Exchange (TSE).We examine the transaction and quote record for three firmsfor the first 3 months of 1990. Our findings suggest that theimmediacy available (at least for small trades) in the marketis high, despite the reliance on public limit orders to supplyliquidity. When orders that would otherwise walk through thelimit order book are converted into limit orders, executionis delayed, but some orders execute (at least in part) at morefavorable prices.