TY  - JOUR
AU  - Ito,Takatoshi
AU  - Melvin,Michael
TI  - Japan's Big Bang and the Transformation of Financial Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7247
PY  - 1999
Y2  - July 1999
UR  - http://www.nber.org/papers/w7247
L1  - http://www.nber.org/papers/w7247.pdf
N1  - Author contact info:
Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp

Michael Melvin
BlackRock
400 Howard St
San Francisco, CA 94105
Tel: 415 670 7635
E-Mail: michael.melvin@blackrock.com
AB  - 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.
ER  -