2010 Volume 2010 Issue FIN-005 Pages 09-
This article develops a methodology to compare market performances under different trading mechanisms for equities implemented in TokyoStock Exchange(TSE): countinuous double auction and call market. Our results show that patience on time-to-execution of traders has a significant impact on market performances. Hence fast moving equities tend to shrink their liquidity under call market having a long intervel on executions.