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 informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the model without a tax and then quantify the effect of an FTT. In our sample, noise traders are price elastic but less so than informed traders. The introduction of an FTT changes the composition of the market, lowering informational efficiency. Even a small, 5 bps, FTT impedes correct price convergence on a sizeable percentage of days.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP07/19
- 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)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2019
- DOI
-
doi:10.1920/wp.cem.2019.0719
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2019
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