We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges; binding...

We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by using a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges; binding capital controls; different timing of...

There are many real-world situations in which complex interacting forces are best described by a series of equations. Traditional regression approaches to these situations involve modeling and estimating each individual equation (producing estimates of "partial derivatives") and then solving the...