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The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse
16 references·6 citing·43 second hop
The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse (2003)The Role of Transaction Costs for Financi…The case for flexible exchange rates (2014)The case for flexible exchang…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…A Century of Stock Market Liquidity and Trading Costs (2002)A Century of Stock Market Liq…The distribution of realized stock return volatility (2001)The distribution of realized …Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…When financial markets work too well: A cautious case for a securities transactions tax (1989)When financial markets work t…Using tax policy to curb speculative short-term trading (1989)Using tax policy to curb spec…A Proposal for International Monetary Reform (1978)A Proposal for International …The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employm…Equilibrium Asset Pricing with Transaction Costs (2019)Equilibrium Asset Pricing wit…Securities Transaction Taxes and Market Quality (2018)Securities Transaction Taxes …The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility (2013)The Impact of the French Secu…The Impact of Securities Transaction Taxes on the Chinese Stock Market (2011)The Impact of Securities Tran…A General Financial Transaction Tax Motives, Revenues, Feasibility and Effects (2010)A General Financial Transacti…Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure (2003)Tobin Tax Effects Seen from t…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Mean reversion in stock prices (1988)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Recent trends in trading activity and market quality (2011)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? 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(1985)Noise Trader Risk in Financial Markets (1990)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Introduction: epistemic communities and international policy coordination (1992)Political Parties and Macroeconomic Policy (1977)Dividend yields and expected stock returns (1988)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)
this work references cited by second hop

References

  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1936The General Theory of Employment, Interest and Money.12,562 cited
  • 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes6,220 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1978A Proposal for International Monetary Reform707 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 2002A Century of Stock Market Liquidity and Trading Costs484 cited
  • 2014The case for flexible exchange rates479 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1989When financial markets work too well: A cautious case for a securities transactions tax

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419 cited
  • 1989Using tax policy to curb speculative short-term trading407 cited
  • Cited by

    • 2010A General Financial Transaction Tax Motives, Revenues, Feasibility and Effects81 cited
    • 2018Securities Transaction Taxes and Market Quality43 cited
    • 2011The Impact of Securities Transaction Taxes on the Chinese Stock Market30 cited
    • 2013The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility27 cited
    • 2003Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure25 cited
    • 2019Equilibrium Asset Pricing with Transaction Costs20 cited