EMPIRICAL ANALYSIS ON TSE DATAc
نویسندگان
چکیده
WHAT MAKES SPECULATORS TO TRADE MORE OFTEN? EMPIRICAL ANALYSIS ON TSE DATA Abstract In this paper we investigate, how the value of transaction costs (TC) and the frequency of investment decision-making can influence the perception of market efficiency. The profit performance of four types of investors is evaluated under the schedule of TC. Hypothetical results for several high-frequency time series of stock prices indicate that the violation of the weak form of market efficiency, reflected in positive market returns, increases with a reduction of TC and an increase of trading frequency. With declining TC the hypothetical possibility of high returns can explain why so many investors increase trading frequency, even though their financial performance is getting worse.
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