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...

This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in estimates of the first-order autocorrelation in...