オガワ　タカユキ   OGAWA Takayuki
  小川　貴之
   所属   大阪経済大学  経済学部 経済学科
   職種   教授
発表年月日 2024/07/06
発表テーマ Brokerage Commissions in an Uncertain Stock Market
会議名 International Workshop on Sustainable Finance and Related Issues
主催者 Institute of Economic Research, Kyoto University / Research Center for Quantitative Finance, Tokyo Metropolitan University
学会区分 研究会・シンポジウム等
発表形式 口頭（一般）
単独共同区分 共同
開催期間 2024/07/06～2024/07/07
発表者・共同発表者 Takayuki Ogawa, Jun Sakamoto, and Makoto Shimoshimizu（発表者）
概要 This study theoretically and empirically investigates how Knightian uncertainty about stock returns influences brokerage commissions via investors' stock demand. We model a stock market wherein oligopolistic brokers mediate financial transactions among uncertainty-averse investors. We find that a deterioration of fundamentals about stock returns reduces the equilibrium commission, whereas an increased uncertainty raises it. Based on panel data for Canada, Japan, the United Kingdom, and the United States from 2010:Q4 to 2021:Q4, we present empirical results that support our theoretical findings.