| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3639 |
| DP3639 Central Bank Transparency in Theory and Practice | |
| Andrew Hughes Hallett; Maria Demertzis | |
| 发表日期 | 2002-11-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Minimum price variation rules (tick size rules) in the French stock market prior to 1999 provide a natural experiment on the role of transaction costs for financial price volatility. For stock prices above French francs (FF) 500, the minimal tick size for quotes increases from FF 0.1 to FF 1. This tick size increase generates a 20% higher median effective spread and therefore artificially inflates transaction costs. Using the range of the quoted mid-price as a tick size robust volatility metric, we calculate 47,213 hourly volatility measures for all CAC40 stocks in the price range from FF 400 to FF 600 and measure the volatility impact of the transaction cost increase at FF 500. We find that the median hourly range volatility is approximately 16% higher in the high cost regime. Panel regressions confirm this result at a high level of statistical significance. In the light of this evidence, higher transaction costs in general, and security transaction taxes in particular, should be considered as volatility increasing. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Tobin tax Realized volatility Effective spread Tick size |
| URL | https://cepr.org/publications/dp3639 |
| 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/532647 |
| 推荐引用方式 GB/T 7714 | Andrew Hughes Hallett,Maria Demertzis. DP3639 Central Bank Transparency in Theory and Practice. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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