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Regulation, Trading Volume and Stock Market Volatility

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  • J. Harold Mulherin

Abstract

[fre] Régulation, Trading Volume and Stock Market Volatility. . Il est souvent avancé que la spéculation est la source d'une volatilité excessive des cours boursiers. Les autorités sont alors confrontées à un dilemme : renforcer la réglementation (par exemple en accroissant les coûts de transactions) réduit l'activité des opérateurs, ce qui va dans le bon sens, mais réduit la liquidité, ce qui est défavorable.. L'expérience américaine du XXè siècle semble montrer, que l'augmentation des coûts de transaction réduit bien leur volume mais que son effet sur la volatilité est ambigu. [eng] Regulation, trading volume and stock market volatility. . It is often argued that speculation causes an excess volatility of stock priees. The authorities then face a dilemma : more regulation (for instance increased transaction costs) reduces the activity of market intervenants, which goes in the right direction but reduces liquidity, which is unfavorable.. The US experience during the 20 th century shows that increases transaction costs reduce transaction volume but have an ambiguous effect on volatility.

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  • J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409244
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    1. Dow, James & Gorton, Gary, 1997. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 1024-1050, October.
    2. Sirnes Espen, 2022. "Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy," Review of Economics, De Gruyter, vol. 73(1), pages 57-77, April.
    3. Assogbavi, T. & Khoury, N. & Yourougou, P., 1995. "Short interest and the asymmetry of the price-volume relationship in the Canadian stock market," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1341-1358, November.
    4. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    5. FitzGerald, John & Central Bank Staff, 2012. "The EU Financial Transactions Tax Proposal: A Preliminary Evaluation," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT217, June.

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