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

@article{Liu2009TransactionCA,
  title={Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange},
  author={Shinhua Liu and Zhenyan Zhu},
  journal={Journal of Financial Services Research},
  year={2009},
  volume={36},
  pages={65-83}
}
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and… 

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