Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269398
Title: The impact of transactions costs in the UK stock market : evidence and implications
Author: Gregoriou, Andros
ISNI:       0000 0000 5169 5165
Awarding Body: Brunel University
Current Institution: Brunel University
Date of Award: 2003
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Abstract:
There has been an increasing interest in the finance literature regarding the impact of transactions costs on US equity markets. The US empirical evidence indicates that transactions costs influence both trading volume (Atkins and Dyl (1997)) and asset returns (Amihud and Mendelson (1986)). Additionally, the theoretical finance literature also indicates that transactions costs affect equilibrium asset returns (Fisher (1994)). In this thesis we assess the impact of transactions costs on the UK equity markets, from four aspects. Firstly, we provide empirical support to the hypothesis that transactions costs affect the "holding period" of an asset in the portfolio of an investor. Secondly, we provide robust results showing that transactions costs affect equilibrium asset returns. Thirdly, we explain the variability of transactions costs with the use of information asymmetry, proxied by the variance of analysts' forecasts, in the spirit of Kim and Verrecchia (1994, 2001). Finally, we find that stock price and trading volume reaction to changes in the FTSE 100 list can be explained by liquidity effects, as proxied by the bid-ask spread. We provide overwhelming evidence, suggesting that transactions costs are important in UK equity markets.
Supervisor: Ioannidis, C. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.269398  DOI: Not available
Keywords: US equity markets ; Asset holding period ; Equilibrium asset returns ; Analysts' forecasts Finance Taxation Economics
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