| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP146 |
| DP146 Endogenous Market Thinness and Stock Price Volatility | |
| Marco Pagano | |
| 发表日期 | 1986-12-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | Thin equity markets cannot accommodate temporary bulges of buy or sell orders without large price movements: the resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional investors, this vicious circle can be broken, eventually shifting the market to a self-sustaining, superior equilibrium, characterized by a higher number of transactors, lower price volatility and larger supply of the asset. |
| 主题 | International Macroeconomics |
| 关键词 | stock market Stock prices Thin financial markets Transaction costs Volatility |
| URL | https://cepr.org/publications/dp146 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529302 |
| 推荐引用方式 GB/T 7714 | Marco Pagano. DP146 Endogenous Market Thinness and Stock Price Volatility. 1986. |
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