Contents
List of Figures vii
List of Tables viii
Preface and Acknowledgments x Introduction xiii 1 Introduction to the Trading System
at the Tokyo Stock Exchange 1 2 Reform and Deregulation of Financial
Markets in Japan: Evolution of Law and
Accounting Standards 13
3 Market Microstructure and Information Asymmetry Variables: Th e Behavior of
TSE Stocks 26
4 Risk and Return on the Tokyo Stock
Exchange 42 5 Impact of TSE Quarterly Disclosure on
Information Asymmetry 61 6 Price Discovery Process Before and
Aft er the Introduction of the “arrowhead”
Trading System at the Tokyo
Stock Exchange 88
Epilogue 108 Index 109
1 Introduction to the Trading System at the Tokyo Stock Exchange
Abstract: In Chapter 1 we provide an overview of trading at the First and Second Sections of the Tokyo Stock Exchange.
We discuss how investors can send bid–ask orders to the TSE and outline how these orders are executed. We also explained the arrowhead trading system, implemented January 2010; by reading our example of the market clearing process, readers should become familiar with TSE trading systems. Th en we summarize relevant fi nancial characteristics of the fi rms listed on both sections of the TSE.
Kubota, Keiichi and Hitoshi Takehara. Reform and Price Discovery at the Tokyo Stock Exchange: From 1990 to 2012.
New York: Palgrave Macmillan, 2015.
doi: 10.1057/9781137540393.0006.
Reform and Price Discovery at the Tokyo Stock Exchange
In this chapter we describe an overview of trading at the First and Second Sections of the Tokyo Stock Exchange (TSE hereaft er). We also explain how transaction information is transmitted to security fi rms, institutional investors, and individual investors. Th is information is for readers who never look at TSE stock data even though they may have knowledge of fi nancial economics, and for readers who have not traded TSE stocks even if they have other stock trading experience.
We explain institutional details and regulatory changes aff ecting Japanese stock trading in Chapter 2. Th ese are TSE listing require- ments, trading details, and disclosure rules; the new Companies Act; the Financial Instruments and Exchange Act (FIFA); and new and revised accounting standards.
Our explanation is based on the offi cial TSE guidebook (TSE, 2012) and its offi cial webpage (TSE, 2014). We try to accurately convey the minimum information necessary for our readers to understand the mechanism of stock trading. Th e TSE webpage information (viewed from October 2014 to January 2015) was the most recent at the time of writing.
1 Listing on the Tokyo Stock Exchange
Th ere are currently six stock markets at the Tokyo Stock Exchange, all part of the Japan Exchange Group. Th e daily public markets are: First Section, Second Section, Tokyo Mothers, JASDAQ, and TOKYO PRO MARKET. ToSTNeT is an off -time trading hour public market, classifi ed as a PTS (proprietary trading system) (TSE, 2014).
Th ere are also three smaller public stock markets, in Fukuoka, Nagoya, and Sapporo. Th e stocks listed on these exchanges are, however, smaller fi rms, and they are not dual-listed on the TSE,1 unlike in the US where 13 public stock markets compete for buy and sell orders of the same stocks (Lewis, 2014).
Overall, 3500 stocks are listed and traded every day in Japan, but most of the large fi rms are listed in the First Section (1840 fi rms) and the Second Section (541 fi rms), according to the October 21, 2014, TSE webpage. In 2007, the TSE was ranked fourth in both total volume and total value, aft er the NYSE Group, NASDAQ, and the London SE (Berk and DeMarzo, 2011).
Th e Japan Exchange Group was formed in January 2013 by the merger of the TSE and the Osaka Stock Exchange (OSE). Th e OSE within the Japan
Introduction to the Trading System at the Tokyo Stock Exchange
Exchange Group now specializes in derivative instruments, while the TSE handles all trading including the stocks listed previously on the OSE.
Th e requirements for listing on the First Section are (1) stockhold- ers numbering more than 2200; (2) fl oating stocks (as defi ned by the TSE)2over 20,000 units and more than 35 of the stock issued; (3) market equity value (as predicted) over ¥25 billion, and so forth. We omit delisting conditions, but they are detailed on the English version of the TSE webpage.
2 Trading mechanisms at the Tokyo Stock Exchange
Trading sessions are mornings (9:00–11:30) and aft ernoons (12:30–15:00), Monday through Friday. Th ere are opening and closing auctions for both sessions called Itayose, to decide opening and closing prices, and Zaraba, for continuous auction trading during normal hours. For Zaraba trading, there are two types of orders: limit orders and market orders. Th ere are also specifi c orders such as: (1) orders to be executed only during the opening auction; (2) orders to be executed only during the closing auction; (3) limit orders that become market orders at the closing session if not already executed (Stop Orders); and (4) Immediate or Cancel (IOC) orders (TSE, 2012). Th e settlement date is the third business day aft er the trade date.
In Itayose, all sell/buy orders must be executed in the morning open- ing session or the aft ernoon closing session. In the morning opening session, orders are handled as if they were received at the same time and are executed in descending order by the number of orders placed by brokerage houses. In the aft ernoon closing session, allocation by the limit price takes place when there is an order imbalance.
For Itayose, three conditions must be satisfi ed: (1) all sell/buy market orders must be executed; (2) all limit orders to sell (buy) at prices lower (higher) than the execution price must be executed; and (3) at the execu- tion price, the entire amount of both all buy or all sell orders must be executed (TSE, 2012).
In the aft ernoon closing session, Itayose is used again, and the closing price is determined. However, when a possible clearing price may exceed (go below) the daily price limit (which we shall explain shortly), due to a large order from either the bid or the ask side, a special method to conduct a closing auction at the limit price is implemented.3
Reform and Price Discovery at the Tokyo Stock Exchange
In Zaraba, however, which takes place during continuous trading hours in the morning and the aft ernoon sessions, the priority of order execution is fi rst by price, and then – if the bid-and-ask limit order prices are equal – by time. In TSE trading, unlike on the NYSE, a daily price limit is imposed; for example, for a price between ¥500 and less than ¥700 the limit is ¥100; for a price between ¥2000 and less than
¥3000 the limit is ¥500; and so forth. Outside these limits, no trading is allowed to take place. Th e price limit is determined by the “base price,”
which is usually the previous closing price. “Base price” exceptions are for large unbalanced orders from the previous day, when a special quote (explained below) is formally fl agged, or on an ex-dividend day for divi- dend adjustments.
In addition, the executed price during the continuous auction has to stay within certain smaller parameters based on the previous executed price of the current day, even within the daily price limit. Th ese param- eters form the “special quotation renewal interval,” and if execution cannot take place within this interval, the TSE will announce a special quote (Tokubetsu Kehai) price as a boundary of the next price-change interval. For example, if the last executed stock price (or the special quote price) was between ¥500 and ¥699, the interval is ¥8 on either the upper side or the lower side, and if it is between ¥2000 and ¥2999, it is ¥50, and so forth. Th is special quote price is renewed every three minutes, if still not executed to meet the order imbalance of buy and sell orders.
TSE’s arrowhead system can process a single large order, either buying up or selling down, which stays within the bounds of the special quote renewal price, by using a “sequential trade quote.” When this order is received, the sequential quote is provided every one minute, which is within the bounds of twice the initial special quote range and in this case the Itayose trading method will be implemented.4
When specifying the bid or ask price for a trade, the price has to be on an integer base of Japanese yen. Th e pre-determined typical tick sizes for TSE stocks are as follows: 1 yen for stocks less than 3000 yen; 5 yen for stocks above 3000 and less than 5000 yen; 10 yen for stocks above 5000 and less than 30,000 yen; and so forth. Aft er the launch of the arrow- head, the fi ner pre-determined tick price was provided.
For some stocks whose pre-determined minimum bid–ask spread was reduced, the eff ective spread of these stocks might have been reduced;
this is an empirical question. If so, the resulting decrease in the bid–ask spread for some price ranges is expected to reduce the trading cost as
Introduction to the Trading System at the Tokyo Stock Exchange 5
measured by the spread. Note that changes apply to some stock price ranges, but not to others, so the researchers have to be careful to distin- guish these stocks when analyzing the impact of the arrowhead on spreads.5
In market microstructure theory, bid–ask spread is considered a liquidity measure. We report some results in Chapters 3 and 5 on the trend of bid–ask spreads in the early years of the 21st century.
3 Stock trading execution and trading information transmission
In this section, we first provide a concrete example of how the traded price is determined and how orders are executed during the Zaraba continuous auction sessions.
In Figure 1.1, assume the minimum ask (sell) price is currently ¥500 and there are 6000 shares of limit orders, the maximum bid (buy) price is ¥499, and there are 5000 shares of limit orders. We also assume that there are market buy orders of 8000 shares. Then, as the figure shows, this market buy order is first matched with the highest priority sell order. In this case, the sell order with the lowest price – 6000 shares at
¥500 – is matched first. Next, 2000 shares are executed at ¥501 from this
figure 1.1 Zaraba example (continuous auction) 497
498 499 501 500 502 503 Price Ask price
Bid price
497 498 499 501 500 502 503 Tick
Quote Depth
Ask price
Bid price Price
Order book
Reform and Price Discovery at the Tokyo Stock Exchange
market buy order, and leaving the rest of the 5000 shares off ered at ¥501 unexecuted. Th e diff erence in the shades of the graph at the bid-and-ask shows how orders were executed and remain unexecuted.
Th e best four bid-and-ask orders in the graph are an illustrative exam- ple at the TSE – but what kind of order information is available to inves- tors? Th e TSE provides two kinds of market information to investors; in Zaraba, (1) all quotes, without any processing, and (2) the processed infor- mation of order quantities at the best bid and off er, the second-highest to eighth-highest (-lowest) prices, and the aggregated bid (off er) quantity of the ninth-highest -lowest) prices or lower (higher). In Itayose trading, the information will be only up to the seventh (no aggregate) (TSE, 2012).
Commercial stock information vendors usually purchase Type 1 information, unprocessed, and provide it on a fee basis to customers such as investors, banks, and other information users. Depending on the fees, they may provide fi ve best bid-and-ask prices and quantities, or ten, or all.
As we explain in the next section, aft er “arrowhead” was launched, order processing and transaction dissemination speed grew dramatically faster, by milliseconds. We also expect the impacts of high-frequency traders (HFT) to be large. However, as there is only one stock market in Japan for each stock, the trading situation for sent and executed orders initiated by HFTs is fundamentally diff erent from those in US stock markets (Conrad et al., 2014, Lewis, 2014).
4 2010 arrowhead trading system
Arrowhead was launched on January 4, 2010. Called a “next generation trading system” by the TSE, it combines low latency, high reliability, and scalability.
Th e low latency means a guaranteed 1-millisecond order response time on average, and order acceptance notices are sent much faster than that. Stock prices and quote information are disseminated in less than 2.5 milliseconds (TSE, 2014). Because there were a few cases in the past when the old trading system overfl owed, this new system possesses three nodes (with two redundancies) which dramatically improved system reliability. Th e maximum capacity to handle orders is twice as large as the average order and execution frequencies, and thus system scalability is guaranteed (TSE, 2014).
Introduction to the Trading System at the Tokyo Stock Exchange
Furthermore, using arrowhead, order matching is immediate, while in the previous system the frequency was every few seconds (ibid.).
As for “scalability,” the allowance for trading intensity surpasses what might be expected from current order frequency. At the same time, various trading rules at the TSE were changed; one example is the fi ner price tick size and the sequential trade quote order, both explained in Section 2.
For the information dissemination mechanism, the TSE is able to provide all data in the order book since the adoption of the arrowhead through their FLEX Full (Type 1 information mentioned in Section 3).
With respect to the impact of HFTs, we emphasize the role of the TSE’s Co-Location Service. Th is is not a matter of proximity to stock exchange computers or the building where the stock exchanges are located, as is the case in the US (Lewis, 2014). Th e TSE Co-Location Service and brokerage house computers are actually situated inside the TSE’s primary site (TSE, 2014). For brokerage houses whose computers are inside this system, the speed and time simultaneity of sending and executing orders is guaranteed.
In the case of US stocks, some millisecond diff erences in computers at various stock exchanges and the location of computers in investment banks seem to be crucial points for conducting front-running profi ts for HFTs (Lewis, 2014). Such an opportunity does not, however, exist among Japanese brokerage houses, which use the same type of Co-Location Service except for the diff erence in effi ciency of their own computer systems
5 Characteristics of fi rms listed on the Tokyo Stock Exchange
In this section we present fi nancial characteristics of fi rms listed on the First and Second Sections of the TSE. Table 1.1 summarizes basic fi rm statistics and Figure 1.2 depicts a histogram of size distributions of the market value of equity of all listed fi rms.
From Figure 1.2 it can be seen that the distribution is skewed to the right, which means that on the right-hand side there is a smaller number of fi rms which are very big, whereas on the left -hand side, a larger number of smaller fi rms – most likely Second Section fi rms rather than First Section fi rms.
Reform and Price Discovery at the Tokyo Stock Exchange
Every day, two market indices are reported in the newspapers and on TV as representative stock indices for Japan. One is the Nikkei 225 (Nikkei Stock Average), which is computed by Nihon Keizai Shinbun (Nikkei Inc.), and an average value of 225 stocks is reported. Th is index is computed with the same weighting method as the Dow Jones Industrial Average, that is, by the price of each stock. Another is TOPIX, the Tokyo Stock Price Index, computed and reported by the TSE. Th is index is computed from listed fi rms on the First Section of the TSE and is value- weighted by the market equity of each fi rm. Th us, from Figure 1.2 we can expect a higher infl uence from large stocks on TOPIX than on the Nikkei 225.
Th e characteristics of fi rms listed on the First and Second Sections of the TSE are summarized in Table 1.1, whose data we will use in the following chapters.
As shown in the fi rst column of Panel A, we fi nd that the number of listed fi rms from 1990 to 2012 on the First Section increased from 1199 to 1682, and on the Second Section decreased from 463 to 428, as shown in the second column.
figure 1.2 Histogram of size distributions of the market value of equities Note: At the end of March 2012.
0
Frequency
20 40 60 80 100 120 140
6
Log of market value (million yen) of equity Distribution of firm size
8 10 12 14 16
Introduction to the Trading System at the Tokyo Stock Exchange
table 1.1 Basic Firm Statistics of Tokyo Stock Exchange Stocks
Year
#Firms in First Section
#Firms in Second Section
Market value of equity
Value- weighted
MVE 25% ile Median 75% ile 95% ile Panel A: Number of fi rms and descriptive statistics for market value of equity.
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Note: Th e unit for market value of equity is reported in ¥ trillions. Other fi gures in the upper right columns are measured in ¥ millions.
Panel B: return on equity, return on assets, and debt ratio
Year
Return on equity
Return on assets
Debt ratio (equity in
book)
Debt ratio (equity in market
value) Mean Median Mean Median Mean Median Mean Median
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(Continued)
Reform and Price Discovery at the Tokyo Stock Exchange
Th e next column shows the time trend of total market value of equity listed on both TSE sections as measured in ¥ trillions at the end of March each year. Th e peak year was 2006 at ¥565 trillion. Note that the Nikkei 225 recorded the highest in December 1989. Following that month and during the “Lost Two Decades,” we fi nd a stagnant tendency with some ups and downs in the total value of market equity.
Th e next column reports the value-weighted average of market equity of listed fi rms. As explained above, value-weighted averages are driven by large stocks measured by the size of market equity, which represents the price movement of large fi rms in general. Unlike total market equity, we fi nd the peak year was 2000 at ¥8000.6 million. Th at was the year when Japan showed a slight recovery, just before the IT bubble burst in 2001. In FY 2001 most of the large electronic fi rms in Japan suff ered a huge loss, and so we fi nd the average value decreased by half from 2000.
Looking at the column of median values, the highest year was 2000 at ¥100.8 million, and the lowest was 2003 at ¥18.4 million. Percentile fi gures show a similar trend, that is, for the number of 95 percentile fi rms, the largest 5 of all fi rms, the time trend shows a related pattern of value-weighted market equity.
From these fi gures, we can conclude that the TSE stock market had a rather tough time. But from the viewpoint of conducting quantitative
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Note: Unit for both returns and rations are in percentages. Debt ratios are computed with respect to total assets as denominators where both the book value and the market equity are used for equity account, and the debt is measured by book value.
table 1.1 Continued
Introduction to the Trading System at the Tokyo Stock Exchange
analyses from fi nancial economics and the market microstructure fi eld, our interest is on the changes in risk and return structure, liquidity, and information asymmetry, which cannot be revealed by this simple time trend. Detailed analyses about this will be conducted in Chapters 4 and 6.
Panel B reports the profi tability of fi rms as measured by the return on equity (ROE), return on total assets (ROA), and the fi nancial risk as measured by leverage in market value and book. We focus on the median values, because we expect the distribution will be skewed to the right with these fi nancial characteristic variables. We fi nd ROE was the high- est in 1990 at 7.12 and the lowest in 1999 at 1.99. ROA was computed with the numerator Net Operating Income instead of Net Income, and the highest and lowest years were the same as the case for ROE. For the debt ratio, when it is measured in book value, the highest was 1990 at 70.36 (again in median value) and the lowest in 2009 at 50.71. When measured in book value, we fi nd that the leverage ratios of listed fi rms do not change drastically, but show a slowly decreasing trend overall.
On measuring leverage in the market value of equity, the highest was in 2003 at 65.94 and the lowest in 1990 at 31.78, refl ecting an overall time trend in the stock market price level.
In this section we have presented the basic picture of the trend of aggre- gate market prices, and the characteristics of fi rms in size, profi tability, and leverage risk. Th e reader should now have a clear understanding of why the 20 years bracketing the turn of the 20th and 21st centuries are called the “Lost Two Decades” in Japan.
In spite of the TSE experiencing such hard times, it has made great eff orts to bring in some important reforms. Later in this book we inves- tigate the impact of these reforms upon the risk and return structure and the price discovery of stocks.
In this chapter we have discussed how investors can send bid-and-ask orders to the TSE and how these orders are executed; with this simple example of the market clearing process, readers should now be reason- ably familiar with TSE trading systems.
We have summarized relevant fi nancial characteristics of the fi rms listed on both sections of the TSE; using this sample and excluding fi nancial fi rms, we will conduct risk–return and market microstructure analyses of fi rms in Chapter 4. Meanwhile, in Chapter 2 we will explain the institu- tional details of regulations, law, and accounting standards from 1990 to 2012, which may have infl uenced the pricing mechanisms of TSE stocks.
Reform and Price Discovery at the Tokyo Stock Exchange
Notes
Until the Tokyo and Osaka Stock Exchanges merged, several stocks had 1
been listed on both markets, especially companies whose headquarters were situated in the Osaka area.
It is computed by the TSE as 1 minus the fi xed stock ratio. (Fixed stocks 2
include top shares held by the ten largest shareholders, stocks held by board members, group cross-held shares, and other stocks considered to be held long term.)
For details, refer to section Q25 in the TSE (2012).
3
For details, refer to section Q23 in TSE (2012).
4
For example, Conrad et al. (2014) selected a sample of stocks whose tick size had 5
changed, and analyzed the impact of the launch of arrowhead on spreads. Note that aft er 2014, the tick size of some selected stocks dropped to less than ¥1.
References
Berk, J. and DeMarzo, P. (2011), Corporate Finance (second edition). New York: Pearson Education Inc.
Conrad, J., Wahal, S., and Xiang, J. (2014), “High frequency quoting, trading, and effi ciency of prices,” JPX Working Paper, Japan Exchange Group. http://www.jpx.co.jp/general-information/
research-study/wp.html
Japan Securities Research Institute (2014), Securities Market in Japan 2014. Tokyo: Japan Securities Research Institute.
Lewis, M. (2014), Flash Boys: A Wall Street Revolt, New York: W. W.
Norton & Company.
Nihon Shoukengyou Kyokai and Tahakashik, F. eds. (2012), Shin Shouken Shijou 2012 (in Japanese, Securities Market 2012), Tokyo: Chuo Keizai-sha.
Tokyo Stock Exchange (2012), Guide to TSE Trading Methodology:
arrowhead, Tokyo: Tokyo Stock Exchange.
Tokyo Stock Exchange (2014), Offi cial Webpage, http://www.tse.or.jp/
(in Japanese) (taken from October 21, 2014 through January 18, 2015).
10-K, 21 20-F, 21
Accounting Standards Board of Japan (ASBJ), 14, 19
Accounting Standard for Financial Instruments and its Implementation, 22 Earnings per Share, 20 Treatment of Treasury
Stock and Regulatory Reserves, 20
AIM, 32, 73
algorithmic trading, 34, 97 American Depositary Receipt
(ADR), 21
Amihud illiquidity measure, 73 Bayes’ rule, 30
bid–ask spread, 4, 28, 69, 82 brokerage commissions, 15 Business Accounting Council,
18
buy orders B, 29 CAPM, 55
Carhart four-factor model, 45 circuit breaker, 90, 104 closing auction, 3 Co-Location Service, 7
TSE’s primary site, 7 Companies Act, 16
consolidated financial statement disclosure, 22 continuous auction, 3
Zaraba, 3 convergence, 14
corporate governance, 22 difference-in-difference- in-differences (DDD) estimations, 81 EDINET, 17
effective bid–ask spread, 28 efficient markets hypothesis,
20
insider information, 20 electronically driven order
market, 29 Euler conditions, 56 ex post probability, 38 excess market returns, 46 fair value, 22
Fama and French three-factor model, 45
Fama and MacBeth regressions, 93 financial analysts, 104 Financial Instruments and
Exchange Act (FIEA), 14 Financial Services Agency, 16 Five-factor model, 59 free, fair, and global, 15
Index
Index
full-scaled quarterly financial statements, 62
GMM test, 59
Hansen and Jagannathan’s distance measure, 56
HFT, 6, 7, 49, 90, 97 HML beta, 58 HML factor, 45 illiquidity, 82 impairment rule, 20
information asymmetry, 27, 59, 66, 69, 73, 81, 82, 102
interim quarterly statements, 21 internal control, 22
International Accounting Standards, 20 Itayose, 3, 6
Japan Exchange Group, 2 Jensen’s alpha, 58
large-cap stocks, 34, 92, 102, 103 likelihood function, 30, 38 limit order, 3, 32, 73, 92 Lost Two Decades, 49, 57 low latency, 6
marginal cost for trades, 29, 34, 96 market for information, 27 market liquidity, 27, 48, 69 minimum pension liabilities, 20 nested models, 56
Nikkei 225 (Nikkei Stock Average), 8 noise traders, 92
OECD Principles of Corporate Governance, 14
one-share–one-vote rule, 16 one-year momentum factor
(UMD12), 52 opening auction, 3
other comprehensive income (OCI), 20
Paris Bourse, 91
Pastor and Stambaugh’s liquidity innovation factor, 46, 59 pension liabilities, 19 PIN, 29, 69, 79, 96
Adjusted PIN, 29, 66, 96 PSOS, 29, 66, 99, 103 Poisson process, 29 price limit, 4
Prime Minister Hashimoto, 15 private information, 27, 30, 32, 80,
92, 104
prompt summary reports, 62 QDDummy, 64
quarterly reports, 21, 69, 74 Regulation Fair Disclosure
(RFD), 90
return on equity (ROE), 11 return on total assets (ROA), 11 risk and return, 99, 103 Sarbanes–Oxley Act, 22 self-regulatory organizations
(SRO), 18
self-selection problems, 81 sell orders S, 29
sequential trade quote, 4 signaling equilibrium, 82
size and the book-to-market ranked 25 portfolios, 55
size distributions of the market value of equity, 7
slicing small orders, 92
small-cap stocks, 35, 88, 91, 92, 103 SMB beta, 59
SMB factor, 45
special quotation renewal interval, 4
special quote (Tokubetsu Kehai), 4 symmetric order-flow
shocks, 32 TDnet, 64 tick data, 30
Index
tick size, 4, 7
Tokyo Stock Exchange, 2 arrowhead, 2, 6, 43, 44, 93 First Section, 2
Second Section, 2 TOPIX, 8
UMD beta, 57
upward-minus-downward (UMD) factor, 47
voting vs. cash flow rights, 16 Wilcoxon tests, 74
zero-trading day measure, 39
