Financial transaction taxes and the informational efficiency of financial markets: A structural estimation

被引：1
|
作者：
Cipriani, Marco [1 ]
Guarino, Antonio [2 ]
Uthemann, Andreas [3 ,4 ]
机构：
[1] Fed Reserve Bank New York, Money & Payments Studies Funct, New York, NY 10045 USA
[2] UCL, Dept Econ, London, England
[3] Bank Canada, Financial Markets Dept, Ottawa, ON, Canada
[4] Syst Risk Ctr, London Sch Econ, London, England
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 146卷 / 03期
基金：
英国经济与社会研究理事会;
关键词：
Financial transaction tax; Market microstructure; Structural estimation; HERD BEHAVIOR; TRADE; PRICE; COSTS; LIQUIDITY; VOLATILITY; IMPACT; ASK;
D O I：
10.1016/j.jfineco.2022.04.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the param-eter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation.(c) 2022 Published by Elsevier B.V.
引用
收藏
页码：1044 / 1072
页数：29
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