Endogenous Market Thinness and Stock Price Volatility
分析薄市场如何因交易者风险规避而自我强化波动，并指出适当激励可打破恶性循环，转向更优均衡。
Thin equity markets cannot accommodate temporary bulges of buy or sell orders without large price movements. The resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets. Thus thinness and the related price volatility may become joint self-perpetuating features of an equity market, irrespective of the volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry by additional investors, this vicious circle can be broken, eventually shifting the market to a self-sustaining, superior equilibrium characterized by a higher number of transactors, lower price volatility and larger supply of the asset.