درس های تنظیم مقررات برای بازارهای سهام از یک قرن مشاهدات بر معاملات هزینه و سهم نوسانات قیمت در بورس اوراق بهادار لندن

This paper draws regulatory lessons for emerging stock markets from an empirical study of the relationship between transactions costs and share price volatility in the London Stock Exchange. We concentrate our analysis on direct pecuniary costs of trading, namely transactions taxes (stamp duty) and brokerage charges, which derive directly from regulation. In a novel contribution to the transactions cost literature, we identify stock market performance with various measures of market volatility, and distinguish among market volatility, fundamental volatility and excess volatility; we also propose some simple ways of identifying the separate impact of transactions costs on these volatility measures. Our findings suggest that changes in transactions costs have a significant and dependable effect on share price volatility but the sign of this effect depends critically on the concept of volatility being measured. Among the important lessons for emerging stock markets is that transactions costs are an important factor in share market volatility and the regulatory regime therefore needs to take account of the impact of regulation on such costs. This is particularly important for those emerging stock markets that rely on stamp duty or other transactions taxes as a regulatory tool.

In this paper, we seek to draw regulatory lessons for emerging stock markets from a study of the historical development of transactions costs and share price volatility in the London Stock Exchange.1 We focus on transactions costs as one particular aspect of market operating and regulatory conditions; specifically, we study the relationship between transactions costs and market volatility, which we interpret as a measure of market performance. The regulatory regime is a key determinant of transactions costs, both indirectly through the institutional and competitive structure of the market, and more directly through any taxes or regulatory charges on market participants. Transactions costs, in turn, affect market performance, particularly but not exclusively, through their effect on trading volumes.2 One difficulty in evaluating these arguments is that transactions costs data for most stock markets are of short span. Hence, the main innovation of this paper is that we analyse the relationship between transactions costs and market performance with the aid of a new long-term dataset on the London Stock Exchange covering almost one-and-a-quarter centuries – from 1870 to 1986. An additional innovation of the paper is that it draws on the research on the British stock market for over a century to provide some new benchmarks for appraising aspects of government policy and regulation that may influence the behaviour of stock prices and returns in emerging stock markets.3 Moreover, by using UK data in this paper, we provide evidence on aspects of stock market regulation which have been less researched than those in the US. We focus on the long-term effect of transactions costs on market performance. We distinguish between two types of transactions cost: direct pecuniary costs and indirect costs; our analysis concentrates on the former.4 Stock market performance is identified with various measures of market volatility. In a novel contribution to the transactions cost literature, we distinguish among market volatility, fundamental volatility, and excess volatility; we also propose some simple ways of identifying the separate impact of transactions costs on the different concepts of volatility. The rest of the paper is organised as follows. In Section 2, we briefly review the literature on the relationship among transactions costs, trading volume and stock market performance. Section 3 sets out our framework for empirically analysing this relationship, and describes the data. Section 4 contains the empirical results, and Section 5 has some concluding remarks.

Our results show that a relatively high proportion of long-run share market volatility in London can be explained by a few measures of business conditions and our three transactions cost variables. In general, changes in each type of transactions cost have a broadly similar short-run effect on volatility, but their long-run effects differ more markedly. Overall, the evidence suggests that increased transactions costs generally increase market volatility – probably through a thin trading effect. However, increased transactions costs tend to reduce fundamental volatility. Moreover, our results show that there are volatility feedbacks – from market volatility to fundamental volatility and vice versa – probably due in part to a feedback from volatility to (non-pecuniary) transactions costs. This implies that a careful distinction has to be drawn between the possible long-run and short-run effects of transactions cost changes. We turn finally to the key regulatory lessons which emerging stock markets may draw from our evidence. The broad implications are clear, if not necessarily unexpected: market transactions costs are an important factor in share market volatility and therefore need to be got right. It is particularly important that we get mostly similar results for each of the three cost variables. This implies that regulators must pay attention to the overall implications of market structure and regulation for private brokerage and other costs, and not just to those directly regulated costs such as transactions taxes. This has important implications for those emerging stock markets that use stamp duty as a regulatory tool. Regulators in these markets cannot assume that changes in stamp duty are the only way in which they can influence turnover and volatility. In addition, regulators in emerging markets need to consider the balance of the regulatory regime as between market structure and directly regulated costs. For example, it may be possible simultaneously to reduce volatility and enhance market liquidity by imposing obligations on designated liquidity providers in return for stamp duty relief. Alternatively, an optimal combination of liquidity and volatility may be secured for some shares, not by liquidity provider obligations but by a combination of several factors, including reliance on market forces and obligations imposed by rule.19 In general, our results support much of the theoretical literature in emphasising that the sign of the relationship between transactions costs and share market volatility cannot be determined a priori, although like other empirical researchers, we do mostly find the sign to be positive. However, a new contribution of this paper is to show that there may be a difference between long-run and short-run effects of transactions cost changes because of volatility feedbacks. More specific conclusions clearly require a more detailed investigation of the channels connecting transactions costs and volatility. Further research on these issues is necessary.