کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
980434 | 1480463 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Transaction costs and market efficiency: Evidence from commission deregulation
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study analyzes the impacts of explicit transaction costs on weak-form market efficiency within the context of the brokerage commission deregulation in Japan in October 1999, which led to lower commission rates across the market. Applying two alternative statistical tests to both daily and weekly data, we find that return randomness (unpredictability) increases significantly for stocks listed in Japan, but not for the Japanese stocks dually listed in the United States, which are immune to the deregulation. These results suggest an inefficiency loss or an efficiency gain in the Japanese equity market following the deregulation, insofar as randomness proxies for efficiency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 352–360
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 352–360
نویسندگان
Shinhua Liu,