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Conference Paper: Does financial regulation matter? Market volatility and the US 1933/34 Acts

TitleDoes financial regulation matter? Market volatility and the US 1933/34 Acts
Authors
Issue Date2008
PublisherChina Center for Financial Research (CCFR), Tsinghua University & Sloan School of Management, Massachusetts Institute of Technology.
Citation
The 2008 China International Conference in Finance, Dalian, China, 2-5 July 2008 How to Cite?
AbstractThe impact of the US 1933/34 Acts, the rst national nancial regulation acts in the world, on nancial markets have been under debates since Stigler (1964). Major fi ndings in the literature is that nancial regulation enacted by these laws is at best being ine¤ective to improve nancial markets until some recent studies imply indirectly that they could be e¤ective. By studying daily returns of NYSE data from 1890 to1970, this paper provides systematic evidence that the 1933/34 Acts have substantially reduced market volatilities after controlling for Great Depression e¤ect and macroeco-nomic variables. Moreover, we show that even when we treat the existence and the date of the volatility changes as unknown, statistically identi ed structural changes are fully consistent with the above results that the volatility reduction time coincide with the enacting of the Acts.
Persistent Identifierhttp://hdl.handle.net/10722/63827

 

DC FieldValueLanguage
dc.contributor.authorLi, Sen_HK
dc.contributor.authorXu, Cen_HK
dc.date.accessioned2010-07-13T04:33:06Z-
dc.date.available2010-07-13T04:33:06Z-
dc.date.issued2008en_HK
dc.identifier.citationThe 2008 China International Conference in Finance, Dalian, China, 2-5 July 2008en_US
dc.identifier.urihttp://hdl.handle.net/10722/63827-
dc.description.abstractThe impact of the US 1933/34 Acts, the rst national nancial regulation acts in the world, on nancial markets have been under debates since Stigler (1964). Major fi ndings in the literature is that nancial regulation enacted by these laws is at best being ine¤ective to improve nancial markets until some recent studies imply indirectly that they could be e¤ective. By studying daily returns of NYSE data from 1890 to1970, this paper provides systematic evidence that the 1933/34 Acts have substantially reduced market volatilities after controlling for Great Depression e¤ect and macroeco-nomic variables. Moreover, we show that even when we treat the existence and the date of the volatility changes as unknown, statistically identi ed structural changes are fully consistent with the above results that the volatility reduction time coincide with the enacting of the Acts.-
dc.languageengen_HK
dc.publisherChina Center for Financial Research (CCFR), Tsinghua University & Sloan School of Management, Massachusetts Institute of Technology.-
dc.relation.ispartofChina International Conference in Financeen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleDoes financial regulation matter? Market volatility and the US 1933/34 Actsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailXu, C: cgxu@hku.hken_HK
dc.identifier.authorityXu, C=rp01118en_HK
dc.description.naturepostprint-
dc.identifier.hkuros167335en_HK
dc.publisher.placeChina-

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