Эксоцман
на главную поиск contacts

The Effects of Transaction Costs on Stock Prices and Trading Volume

Опубликовано на портале: 02-10-2003
Journal of Financial Intermediation. 1998.  Vol. 7. No. 2. P. 130-150. 
Тематический раздел:
We study the effects of changes in bid-ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex, and stocks that move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is larger when Nasdaq market makers avoid odd-eighth quotes. When stocks move from Amex to Nasdaq, their spreads typically increase, but again, the increase is larger when Nasdaq market makers avoid odd eighths. We use this data to isolate the effects of transaction costs on trading volume and expected returns. We find that higher transaction costs significantly reduce trading volume, but do not have a significant effect on prices

Ссылки
текст статьи в формате PDF доступен на персональной странице Майкла
(Michael J. Barclay):
http://www.simon.rochester.edu/fac/barclay/research1.htm
http://www.simon.rochester.edu/fac/barclay/PublishedPapers/JFI1998.pdf
BiBTeX
RIS
Ключевые слова

См. также:
Ricardo J. Caballero, Mohamad L. Hammour
NBER Working Paper Series. 2002.  w9381.
[Статья]
David Yermack
Journal of Financial Economics. 2003.  Vol. 40. No. 2. P. 185-211. 
[Статья]
Meir Statman
Journal of Financial and Quantitative Analysis. 1987.  Vol. 22. No. 3. P. 353-363. 
[Статья]
Внешнеэкономические связи. 2006.  Т. 23. № 3. С. 30-32. 
[Статья]
Nicolai J. Foss, Kirsten Foss
Copenhagen Business School Working Paper. 2002.  No. 02.
[Статья]