The effects of transaction costs on stock prices and trading volume

被引：28

作者：

Barclay, MJ

Kandel, E

Marx, LM ^{[1
]}

机构：

[1] Univ Rochester, WE Simon Grad Sch Business Adm, Rochester, NY 14627 USA

[2] Hebrew Univ Jerusalem, Jerusalem, Israel

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 1998年 / 7卷 / 02期

关键词：

D O I：

10.1006/jfin.1998.0238

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 1998 Academic Press.

引用

页码：130 / 150

页数：21

共 17 条

[1] ASSET PRICING AND THE BID ASK SPREAD [J].