Hau, Harald - C.E.P.R. Discussion Papers - 2002
on the role of transaction costs for financial price volatility. For stock prices above French francs (FF) 500, the … volatility metric, we calculate 47,213 hourly volatility measures for all CAC40 stocks in the price range from FF 400 to FF 600 … and measure the volatility impact of the transaction cost increase at FF 500. We find that the median hourly range …