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Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange

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  • Green, Christopher J.
  • Maggioni, Paolo
  • Murinde, Victor

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 4 (April)
Pages: 577-601

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Handle: RePEc:eee:jbfina:v:24:y:2000:i:4:p:577-601

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References

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  1. Bulkley, George & Harris, Richard, 1996. "Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices," Discussion Papers, Exeter University, Department of Economics 9608, Exeter University, Department of Economics.
  2. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, American Economic Association, vol. 70(3), pages 393-408, June.
  3. Pagano, Marco, 1989. "Endogenous Market Thinness and Stock Price Volatility," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(2), pages 269-87, April.
  4. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 98(4), pages 703-38, August.
  5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  6. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1995. "Two Cases for Sand in the Wheels of International Finance," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(428), pages 162-72, January.
  7. Jones, Charles M & Seguin, Paul J, 1997. "Transaction Costs and Price Volatility: Evidence from Commission Deregulation," American Economic Review, American Economic Association, American Economic Association, vol. 87(4), pages 728-37, September.
  8. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers, Columbia - Center for Futures Markets t10, Columbia - Center for Futures Markets.
  9. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(3), pages 419-438, April.
  10. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 151-184, July.
  11. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 289-311.
  12. Wu, Yangru, 1997. "Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 35(2), pages 309-19, April.
  13. Umlauf, Steven R., 1993. "Transaction taxes and the behavior of the Swedish stock market," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(2), pages 227-240, April.
  14. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 3-25, October.
  15. Black, Jane M. & Tonks, Ian, 1992. "Asset price variability in a rational expectations equilibrium," European Economic Review, Elsevier, vol. 36(7), pages 1367-1377, October.
  16. Jennings, Robert H. & Barry, Christopher B., 1983. "Information Dissemination and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 18(01), pages 1-19, March.
  17. James Tobin, 1978. "A Proposal for International Monetary Reform," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 506, Cowles Foundation for Research in Economics, Yale University.
  18. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  19. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
  20. Jarrell, Gregg A, 1984. "Change at the Exchange: The Causes and Effects of Deregulation," Journal of Law and Economics, University of Chicago Press, University of Chicago Press, vol. 27(2), pages 273-312, October.
  21. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 28(01), pages 21-39, March.
  22. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 109-126, March.
  23. Atkins, Allen B & Dyl, Edward A, 1997. " Transactions Costs and Holding Periods for Common Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 309-25, March.
  24. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 23-49, November.
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Citations

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Cited by:
  1. Ana Cristina Silva & Gonzalo Chavez, 2004. "Trading Costs for Emerging Market Stocks," Working Papers Economia wp04-04, Instituto de Empresa, Area of Economic Environment.
  2. repec:onb:oenbwp:y::i:115:b:1 is not listed on IDEAS
  3. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 465-481.
  4. Larry Neal, 2006. "The London Stock Exchange in the 19th Century: Ownership Structures, Growth and Performance," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 115, Oesterreichische Nationalbank (Austrian Central Bank).
  5. Dimson, E. & Spaenjers, C., 2009. "Ex-Post: The Investment Performance of Collectible Stamps," Discussion Paper, Tilburg University, Center for Economic Research 2009-64, Tilburg University, Center for Economic Research.
  6. Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
  7. Christopher J. Green & Colin H. Kirkpatrick & Victor Murinde, 2006. "Finance for small enterprise growth and poverty reduction in developing countries," Journal of International Development, John Wiley & Sons, Ltd., vol. 18(7), pages 1017-1030.
  8. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in Asset Markets," 2006 Meeting Papers, Society for Economic Dynamics 869, Society for Economic Dynamics.
  9. Spaenjers, C., 2011. "Essays in alternative investments," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4944288, Tilburg University.
  10. He, Yan & Wu, Chunchi & Chen, Yea-Mow, 2003. "An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 12(2), pages 171-186.
  11. Hua, Cheng, 2006. "Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs," Economics Papers from University Paris Dauphine 123456789/4074, Paris Dauphine University.
  12. Jong-Kun Lee & Biaggio Bossone, 2002. "In Finance, Size Matters," IMF Working Papers 02/113, International Monetary Fund.
  13. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  14. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer, Springer, vol. 19(6), pages 884-912, December.
  15. Helen Allen & John Hawkins & Setsuya Sato, 2001. "Electronic trading and its implications for financial systems," BIS Papers chapters, in: Bank for International Settlements (ed.), Electronic finance: a new perspective and challenges, volume 7, pages 30-52 Bank for International Settlements.
  16. Silva, Ana Cristina & Chávez, Gonzalo A., 2008. "Cross-listing and liquidity in emerging market stocks," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(3), pages 420-433, March.

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