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.

scholarly journals Investigating the determinants of dividend policy in emerging markets using a combination of exploratory variables

2016 ◽  
Vol 13 (2) ◽  
pp. 8-15
Author(s):  
Dadang Prasetyo Jatmiko ◽  
Viktor Manahov ◽  
Nnamdi Obiosa
Keyword(s):  
Emerging Markets ◽  
Transaction Costs ◽  
Transaction Cost ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Agency Cost ◽  
Insider Ownership ◽  
Independent Variables ◽  
Cost Factors

s. The authors analyze the factors causing dividend policy by utilizing agency cost theory of dividend and transaction cost of dividend by using blue chips companies stock listed in the Indonesian Stock Exchange (IDX) from 2004-2013. They also examine the transaction costs of bid-offer spread and commission as the proxies with agency cost factors of insider ownership and shareholder dispersion. The authors observe that the independent variables affected the dividend policy simultaneously. In addition, they find that the bid-offer spread as a new proxy also had significant effects on the dividend policy

The information content of the thinner order book following tick size reduction

2014 ◽  
Vol 40 (3) ◽  
pp. 218-233
Author(s):  
Cheng-Yi Chien ◽  
Tzu-Hsiang Liao ◽  
Hsiu-Chuan Lee
Keyword(s):  
Information Content ◽  
Stock Exchange ◽  
Limit Order Book ◽  
Order Book ◽  
Tick Size ◽  
Limit Order ◽  
Content Type ◽  
Taiwan Stock Exchange ◽  
Using Data ◽  
The Impact

Purpose – This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share proposed by Hasbrouck and extended by Lien and Shrestha is used in this paper. Findings – The empirical results show that the limit order book is informative. Furthermore, the results indicate that a reduction in tick size will decrease the information content of the order book and the decrease in the information content of the order book is positively related to the thinner order book. Originality/value – This paper suggests that, in order to enhance the information content of the order book, the TWSE should disclose the full limit order book.

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.

Users behaviors: The Heritage of Digital World

2014 ◽  
Vol 13 (7) ◽  
pp. 4675-4682
Author(s):  
Atefeh Danesh Moghadam ◽  
Alireza Alagha
Keyword(s):  
Technology Development ◽  
Second Step ◽  
Information Communication ◽  
The Third ◽  
Digital World ◽  
New Concepts ◽  
Emerging Patterns ◽  
History Of ◽  
Fourth Step ◽  
Communication And Technology

In the advent of information era, not only digital world is going to expand its territories, it is going to penetrate into the traditional notions about the meaning of the words and also valorize new concepts. According to Oxford Dictionary, the word heritage is defined: The history, tradition and qualities that a country or society has had for many years and that are considered an important part of its character. In order to present how emerging patterns, as the consequences of technology development, are going to be considered as the new concept of heritage, we follow four steps. In the first step, we present the convergence of Information, Communication and Technology (ICT) and a concise history of its convergence. In the second step, we argue how convergence has culminated in emerging patterns and also has made changes in digital world. In the third step, the importance of users behaviors and its mining is surveyed. Finally, in the fourth step; we illustrate User Generated Contents (UGC) as the most prominent users behaviors in digital world.

The Kinney Three Paragraphs (and More) for Accounting Ph.D. Students

2019 ◽  
Vol 33 (4) ◽  
pp. 1-14 ◽  
Author(s):  
William R. Kinney
Keyword(s):  
Review Process ◽  
Student Experiences ◽  
Second Step ◽  
Practical Relevance ◽  
The Third ◽  
Validity Assessment ◽  
Essential Components ◽  
Potential Problems ◽  
Empirical Accounting Research

SYNOPSIS This Commentary is intended to help beginning Ph.D. students identify, evaluate, and communicate essential components of proposed empirical accounting research using a three-step process. The first step is a structured top-down approach of writing answers to three related questions—What, Why, How—that emphasize the central role of conceptual thinking in research design, as well as practical relevance. The second step is a predictive validity assessment that anticipates concerns likely to arise in the scholarly review process, and the third is consideration of the likely outcome and potential problems to be encountered if the proposal is implemented as planned. First-hand accounts of Ph.D. student experiences using the three paragraphs and three-step approach are presented, along with an exercise that beginners can use to help themselves identify, analyze, and anticipate problems to improve chances for research success ex ante.

On a Fallacy in the Coase Theorem and the Theorem of Transaction Costs Substitution

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Steven N. S. Cheung
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Coase Theorem ◽  
Economic Institutions ◽  
General Version ◽  
Historical Account ◽  
Rent Dissipation

AbstractThis paper first presents a historical account of the origin of the Coase Theorem. It then elaborates its significance in explaining the working of economic institutions. After expounding the concepts of transaction cost and rent dissipation, it points out an error in the Coase Theorem. Lastly, the paper propounds the Theorem of Transaction Costs Substitution as an extended and general version of the Coase Theorem.

Electrochemical Evaluation for Rust Preventive Properties of Rust Preventive Oils Coated on Fe-Cu-C Sintered Steel

2014 ◽  
Vol 783-786 ◽  
pp. 2537-2540 ◽  
Author(s):  
Satoshi Sunada ◽  
Norio Nunomura ◽  
Sayaka Hirata ◽  
Naoki Nagase
Keyword(s):  
Open Circuit Potential ◽  
High Viscosity ◽  
Open Circuit ◽  
Second Step ◽  
Sintered Steel ◽  
Corrosive Solution ◽  
The Third ◽  
Low Viscosity ◽  
Sintered Steels ◽  
Electrochemical Evaluation

Since Fe-Cu-C sintered steels are easily rusted, they are coated with rust preventive oils. High viscosity of those rust preventive oils decrease workability, and low viscosity deteriorates rust preventive performance. Therefore, it is necessary to develop new rust preventive oils with contradictory properties of low viscosity and superior rust prevention. However, precise methodology to evaluate rust prevention ability has not been established. In this study, we developed new technique to quantitatively evaluate rust prevention ability by measuring the open circuit potential through thin corrosive solution on Fe-Cu-C sintered steels coated with a rust preventive oils. As a result, the ability for rust prevention can be measured quantitatively, and it decreases slowly over time, with repeating destruction and restoration. Furthermore, it was found that the deteriorating processes of rust prevention ability for rust prevention oils are composed of three characteristics steps respectively. That is, in the first step the great open circuit potential changes from 0V to-0.3V with repetition were observed where the excellent rust prevention ability was kept, in the second step it decreases slowly from-0.1V to-0.4V with oscillation of the small potential changes where the gradual decrease of rust prevention ability was recognized and in the third step it decreases monotonously in the lower potential than-0.4V where the rust was observed because of the remarkable deteriorating of the rust prevention ability.

scholarly journals Firms' Choice of Regulatory Instruments to Reduce Pollution: A Transaction Cost Approach

2004 ◽  
Vol 6 (3) ◽  
pp. 1-20 ◽  
Author(s):  
Magali Delmas ◽  
Alfred Marcus
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Transaction Cost Economics ◽  
Command And Control ◽  
Governance Structure ◽  
Governance Structures ◽  
Negotiated Agreements ◽  
Regulatory Instruments ◽  
Market Opportunities ◽  
And Control

This paper compares the economic efficiency of firm-agency governance structures for pollution reduction using transaction costs economics. Two governance structures are analyzed with the transaction costs approach: command and control regulation (CCR) and negotiated agreements (NAs). We propose that the choice of governance structure depends on the strategies firms pursue given the attributes of their transactions and their market opportunities. The application of transaction cost economics analysis leads to different choices of regulatory instruments. Firms in more mature, stable industries are likely to choose command and control, while firms in new, dynamic sectors are more likely to opt for negotiated agreements. Frequency of transactions is a key factor in firm choice.

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