The Effects of Transaction Costs on Stock Prices and Trading Volume
研究买卖价差变化对股票价格和交易量的影响，发现交易成本显著降低交易量，但对价格影响不显著。
We study the effects of changes in bid–ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex and stocks that move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is larger when Nasdaq market makers avoid odd-eighth quotes. When stocks move from Amex to Nasdaq, their spreads typically increase, but again, the increase is larger when Nasdaq market makers avoid odd eighths. We use this data to isolate the effects of transaction costs on trading volume and expected returns. We find that higher transaction costs significantly reduce trading volume, but do not have a significant effect on prices.Journal of Economic LiteratureClassification Numbers: G10, G14.