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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Cipriani, Marco
  • Guarino, Antonio
  • Uthemann, Andreas
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2019

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