scholarly journals Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs

2019 ◽  
Vol 39 (10) ◽  
pp. 1269-1300 ◽  
Author(s):  
Jieye Qin ◽  
Christopher J. Green ◽  
Kavita Sirichand
Keyword(s):  
Transaction Costs ◽  
International Markets ◽  
Currency Risk

scholarly journals Estimating the effect of transaction costs using tick-size as a proxy

2021 ◽  
Author(s):  
Espen Sirnes
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Stock Exchange ◽  
International Markets ◽  
Second Step ◽  
Order Book ◽  
Local Data ◽  
Tick Size ◽  
The Third ◽  
Intraday Data

A method is proposed for estimating the effect of transaction costs on volatility, using the tick-size as proxy. The method follows three steps: 1) collect only the cases where the tick-size changes from one regime to another, 2) estimate the effect with and without the order book size, and 3) use local data on tick-size and volatility, but instruments from international markets.  The first step handles stationarity and dependence. The second step is used to infer the effect of a symmetric transaction cost as tick-size is a revenue and not a cost for liquidity providers. A regression with and without the order book may therefore indicate how much this asymmetry is likely to affect the result. The third step handles endogeneity. The method is applied on intraday data from the Norwegian Stock Exchange (OSE).  The results show that both the tick-size and inferred transaction costs seems to have surprisingly little impact on volatility.

Stochastic interest rates, transaction costs, and immunizing foreign currency risk

1997 ◽  
Vol 17 (5) ◽  
pp. 579-598
Author(s):  
Raymond Chiang ◽  
John Okunev ◽  
Mark Tippett
Keyword(s):  
Interest Rates ◽  
Transaction Costs ◽  
Foreign Currency ◽  
Currency Risk ◽  
Stochastic Interest Rates ◽  
Stochastic Interest

scholarly journals The Theoretical Possibility of the Mundellian-Trilemma in Practice

2020 ◽  
Vol 1 (1) ◽  
pp. 48-55
Author(s):  
Helen Zhang ◽  
Lu- Yao Wang
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Transaction Costs ◽  
Capital Market ◽  
International Markets ◽  
Theoretical Possibility ◽  
Fixed Exchange Rate ◽  
Policy Goals

Mundellian-Trilemma depicts that the impossibility of three policy goals, monetary policy independence, open capital market and fixed exchange rate. The depiction of the Mundellian-Trilemma appears true under an assumption of zero arbitrage costs across international markets. In practice, however, the transaction costs can be enormous to hinder the capital across international markets. Hence, by relaxing the assumption of zero arbitrage costs, this paper demonstrates a theoretical possibility of the trilemma in practice.

From transaction costs to transaction value: Overcoming the frictional paradigm

2020 ◽  
pp. 51-81
Author(s):  
D. P. Frolov
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Path Dependence ◽  
Transaction Cost Economics ◽  
Cost Minimization ◽  
Low Cost ◽  
Coase Theorem ◽  
Transactional Analysis ◽  
Transaction Sector ◽  
Transaction Value

The transaction cost economics has accumulated a mass of dogmatic concepts and assertions that have acquired high stability under the influence of path dependence. These include the dogma about transaction costs as frictions, the dogma about the unproductiveness of transactions as a generator of losses, “Stigler—Coase” theorem and the logic of transaction cost minimization, and also the dogma about the priority of institutions providing low-cost transactions. The listed dogmas underlie the prevailing tradition of transactional analysis the frictional paradigm — which, in turn, is the foundation of neo-institutional theory. Therefore, the community of new institutionalists implicitly blocks attempts of a serious revision of this dogmatics. The purpose of the article is to substantiate a post-institutional (alternative to the dominant neo-institutional discourse) value-oriented perspective for the development of transactional studies based on rethinking and combining forgotten theoretical alternatives. Those are Commons’s theory of transactions, Wallis—North’s theory of transaction sector, theory of transaction benefits (T. Sandler, N. Komesar, T. Eggertsson) and Zajac—Olsen’s theory of transaction value. The article provides arguments and examples in favor of broader explanatory possibilities of value-oriented transactional analysis.

Non-Public Monetary Systems in information Economy

2013 ◽  
pp. 151-159
Author(s):  
O. Krasilnikov ◽  
E. Krasilnikova
Keyword(s):  
Transaction Costs ◽  
Information Economy ◽  
Internet Technologies ◽  
Monetary Systems ◽  
Public Money ◽  
Economic Institution

The article discusses the development of non-public monetary systems (NPMS), defined as a specific economic institution. It presents their comparison with public money systems depending on the size of transaction costs. The authors come to the conclusion that in conditions of the information economy on the basis of Internet-technologies NPMS receive a new impetus to their development and can make serious competition in regard to public monetary systems.

Transactions in science in comparative perspective

2018 ◽  
pp. 52-69
Author(s):  
A. N. Oleinik
Keyword(s):  
Transaction Costs ◽  
Academic Freedom ◽  
North American ◽  
Institutional Environment ◽  
Scientific Productivity ◽  
Institutional Environments ◽  
Academic Administrator ◽  
The North ◽  
American Case ◽  
Transactional Approach

The article develops a transactional approach to studying science. Two concepts play a particularly important role: the institutional environment of science and scientific transaction. As an example, the North-American and Russian institutional environments of science are compared. It is shown that structures of scientific transactions (between peers, between the scholar and the academic administrator, between the professor and the student), transaction costs and the scope of academic freedom differ in these two cases. Transaction costs are non-zero in both cases, however. At the same time, it is hypothesized that a greater scope of academic freedom in the North American case may be a factor contributing to a higher scientific productivity.

Sign in / Sign up

Export Citation Format

Share Document