Arbeitspapier
Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
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 sixty New York Stock Exchange (NYSE) stocks in 2017. We quantify the effect of introducing an FTT given the parameter 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 993
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Asymmetric and Private Information; Mechanism Design
Estimation: General
- Thema
-
financial transaction tax
market microstructure
structural estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cipriani, Marco
Guarino, Antonio
Uthemann, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cipriani, Marco
- Guarino, Antonio
- Uthemann, Andreas
- Federal Reserve Bank of New York
Entstanden
- 2021
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