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

Marco Cipriani, Antonio Guarino, Andreas Uthemann

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.

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Year of publication:	[2019]
Authors:	Cipriani, Marco ; Guarino, Antonio ; Uthemann, Andreas
Publisher:	[London] : Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL
Subject:	Financial Transaction Tax \| Market Microstructure \| Structural Estimation \| Finanzmarkt \| Financial market \| Finanztransaktionssteuer \| Financial transactions tax \| Marktmikrostruktur \| Market microstructure \| Tobinsteuer \| Tobin tax \| Theorie \| Theory \| Marktstruktur \| Market structure \| Effizienzmarkthypothese \| Efficient market hypothesis \| Internationaler Finanzmarkt \| International financial market \| Steuerwirkung \| Tax effects

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Extent:	1 Online-Ressource (circa 59 Seiten) Illustrationen
Series:	CEMMAP working papers / Centre for Microdata Methods and Practice. - London : [Verlag nicht ermittelbar], ISSN 1753-9196, ZDB-ID 2106928-1. - Vol. CWP19, 07
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/211100 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies ; D82 - Asymmetric and Private Information ; C13 - Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011966499