Table 2
Review of elasticity estimates
| Author(s) | Country (market) | Market type | Elasticity estimate | Estimate type |
|---|---|---|---|---|
| Epps (1976) | U.S. | Stock market | -0.25 | TTC |
| Jarrell (1984) | U.S. | Stock market | -1 | TTC |
| Jackson and O’Donnell (1985) | U.K. | Stock market | -0.5 (-1.65) | TTC |
| Lindgren and Westlund (1990) | Sweden | Stock market | -0.9 to -1.4 | TTC |
| Ericsson and Lindgren (1992) | Multinational | Stock market | -1 | TTC |
| Wang et al. (1997) | U.S. | S&P 500 Index futures (CME) | -2 | BAS |
| Wang et al. (1997) | U.S. | T-bond futures (CBT) | -1.2 | BAS |
| Wang et al. (1997) | U.S. | DM futures (CME) | -2.7 | BAS |
| Wang et al. (1997) | U.S. | Wheat futures (CBT) | -0.1 | BAS |
| Wang et al. (1997) | U.S. | Soybean futures (CBT) | -0.2 | BAS |
| Wang et al. (1997) | U.S. | Copper futures (COMEX) | -2.3 | BAS |
| Wang et al. (1997) | U.S. | Gold futures (Comex) | -2.6 | BAS |
| Hu (1998) | Multinational | Stock market | 0 | STT |
| Aitken and Swan (2000) | Australia | Stock market | -0.97 to -1.2 | TTC |
| Wang and Yau (2000) | U.S. | S&P 500 Index futures (CME) | -0.8 (-1.23) | BAS |
| Wang and Yau (2000) | U.S. | DM futures (CME) | -1.3 (-2.1) | BAS |
| Wang and Yau (2000) | U.S. | Silver futures (CME) | -0.9 (-1.6) | BAS |
| Wang and Yau (2000) | U.S. | Gold futures (CME) | -1.3 (-1.9) | BAS |
| Swan and Westerholm (2001) | Sweden | Stock market | -1 | TTC |
| Swan and Westerholm (2001) | Finland | Stock market | -1.27 | TTC |
| Zhang (2001) | Shanghai | Stock market | -0.58 | STT |
| Zhang (2001) | Shenzhen (China) | Stock market | -0.49 | STT |
| Baltagi et al. (2006) | China | Stock market | -1 | TTC |
| Baltagi et al. (2006) | China | Stock market | -0.5 | STT |
| Chou and Wang (2006) | Taiwan | Futures market | -1 | STT |
| Chou and Wang (2006) | Taiwan | Futures market | -0.6 to -0.8 | BAS |
| Liu (2007) | Japan | Stock market | -1 | STT |
| Schmidt (2007) | Multinational | Foreign exchange | -0.4 | BAS |
Note: Values in parentheses are long-run estimates. As Matheson (2011) points out, if the elasticity of trading volume is measured with respect to subcomponents of transactions costs (in this table, securities transaction taxes [STT] and bid-ask spreads [BAS]), then the implied elasticity with respect to total transactions costs (TTC) is higher.
Source: Adapted from Matheson (2011) and Schulmeister (2009)
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