Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time

By Ian Domowitz, Jack D. Glen, Ananth Madhavan. 2001

400 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5c7b3e8c918330bd43145f9e30310b821d81291

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Citations in the corpus

Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies (2020, background): “…different from emerging markets elsewhere in terms of liquidity transmission (Choi et al. 2017), corporate governance structures, financial liberalization (Arshad, Haroon, and Rizvi 2019), information transparency (Millar et al. 2005) and trading costs (Domowitz, Glen, and Madhavan 2001).”
Stock market development and internationalization: Do economic fundamentals spur both similarly? (2006, background): “Edison and Warnock (2003b) also argue that global factors are important for capital flows to emerging markets.”
Information costs and home bias: an analysis of US holdings of foreign equities (2004, positive): “measure of transaction costs across 41 foreign markets; see Domowitz et al. (2001) for an analysis of these data.”
Securities Transaction Taxes and Financial Markets (2001, neutral): “21 percent of the total revenue.(6) Thus, a 100 percent increase in the tax rate resulted in a 22 percent increase in revenue.”
Disclosure, Corporate Governance, and the Cost of Equity Capital: Evidence from Asia's Emerging Markets (2003, positive): “For example, Domowitz et al. (2000) find that emerging markets have significantly higher trading costs, which are related to asymmetric information, even after controlling for factors affecting trading costs such as market capitalization and volatility.”
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes (2008, positive): “Domowitz, Glen, and Madhavan (2001) find that emerging markets are associated with significantly higher transaction costs even after correcting for factors affecting cost such as market capitalization and volatility.”
Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia (2009, neutral): “Domowitz et al. (2001) explore the interaction of trading cost, quidity, and volatility in developed and emerging markets. Jun et al. (2003) show at liquidity is an important driver of emerging market returns. Lesmond (2005) xamines different liquidity measures for emerging markets and identifies th”
THE ROLE OF TRANSACTION COSTS FOR FINANCIAL VOLATILITY: EVIDENCE FROM THE PARIS BOURSE (2006, result): “Previous findings in support of a 1See for example Domowitz et al. (2001) and Jones (2002).”
Identifying Expensive Trades by Monitoring the Limit Order Book (2017, background): “On the other hand Domowitz et al. (2001), report significant differences in transaction costs across the four Euronext venues.12 To be on the safe side, we include dummies to control for the trading venue.”