Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange

Liu, Shinhua; Zhu, Zhen

doi:10.1007/s10693-009-0063-x

Cited by 52 publications

(11 citation statements)

References 23 publications

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“…They also find that volatility increases significantly. On the other hand, Liu and Zhu (2009) find that the relationship between transaction costs and price volatility is negative in Japan, a result in line with the argumentations of Stiglitz (1989) and Summers and Summers (1989). The authors cannot use the estimation approach of Jones and Seguin (1997), since the reduction of transaction was for the whole Japanese market.…”

supporting

confidence: 85%

Taxation and the Financial Crisis

Alworth¹,

Arachi²

2012

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BookTaxation and the Financial Crisis Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.

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supporting

confidence: 85%

Taxation and the Financial Crisis

Alworth¹,

Arachi²

2012

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“…Those variables have been used in previous studies on market quality (Benett and Wei 2006, Liu and Zhu 2009, Pagano and Schwartz 2003.…”

Section: Methodology and Datamentioning

confidence: 99%

“…Following Liu and Zhu (2009) an ARMA(1,0)-GARCH(1,0) model on daily returns is estimated for individual stocks, using both open and closing prices 5 . To estimate the X-Stream effect, we include dummies both in the mean and the variance equations, with a value of zero before the X-Stream starting date (February 9, 2009), and one afterwards.…”

Section: Effects On Volatilitymentioning

confidence: 99%

“…We acknowledge the existence of more elaborate models that allow a better estimation of intra-day volatility, as the stochastic volatility models discussed in Alizadeh, Brand andDiebolt (2002) andTer Hortes, Rodriguez, Gzyl andMolina (2012). However, we stick to the models used in our study because they have been used in previous market quality studies (see, for example, Liu and Zhu (2009)). Using the same models allows our results to be directly compared with those of similar studies in other countries.…”

Section: Effects On Volatilitymentioning

confidence: 99%

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Market Quality and Structural Changes in the Trading System: The Case of X-Stream on the Colombian Stock Exchange

2014

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Market quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J. Market quality and structural changes in the trading system:The case of X-Stream on the Colombian stock exchange. AbstractWe study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low liquidity emerging stock market. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets. JEL: G10, G15, G19

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“…The most popular financial ratio concerning the market risk anticipation is a book-to-market ratio. Liu (2009) proves in his research on Chinese Stock Exchange that B/M ratio is positively related to abnormal return.…”

Section: Value Of E/p Ratio and B/m Ratiomentioning

confidence: 97%