The impact of the US 1933/34 Acts, the rst national nancial regulation acts in the world, on nancial markets have been under debates since Stigler (1964). Major fi ndings in the literature is that nancial regulation enacted by these laws is at best being ine¤ective to improve nancial markets until some recent studies imply indirectly that they could be e¤ective. By studying daily returns of NYSE data from 1890 to1970, this paper provides systematic evidence that the 1933/34 Acts have substantiallyreduced market volatilities after controlling for Great Depression e¤ect and macroeco-nomic variables. Moreover, we show that even when we treat the existence and the date of the volatility changes as unknown, statistically identi ed structural changes are fully consistent with the above results that the volatility reduction time coincide with the enacting of the Acts.
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