@techreport{NBERw7247,
 title = "Japan's Big Bang and the Transformation of Financial Markets",
 author = "Takatoshi Ito and Michael Melvin",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "7247",
 year = "1999",
 month = "July",
 URL = "http://www.nber.org/papers/w7247",
 abstract = {A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper examines how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of the deregulation. Intra-day data are analyzed with the following results: (1) Holding constant the effects of volume and volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility.},
}