This study analyzes the impacts of explicit transaction costs on weak-form market efficiency within the context of the brokerage commission deregulation in Japan in October 1999, which led to lower commission rates across the market. Applying two alternative statistical tests to both daily and...

Existing theories predict lower trading volume, but ambiguous changes in price, bid-ask spread, and volatility for the underlying stocks following the advent of index derivatives. We further test these predictions around the introduction of the S&P 100 options in March 1983. Controlling for...