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The intended and unintended consequences of financial-market regulations : a general equilibrium analysis
Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - 2016
In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as...
Persistent link: https://www.econbiz.de/10011436064
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Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes
Lavicka, Hynek - 2014
The recent crisis revived interest in financial transaction taxes (FTTs) as a means to offset negative risk externalities. However, up-to-date academic research does not provide sufficient insights into the effects of transaction taxes on financial markets as the literature has here-to-fore been...
Persistent link: https://www.econbiz.de/10013056246
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The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel; Lux, Thomas - 2013
We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their...
Persistent link: https://www.econbiz.de/10009783698
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The impact of the French Tobin tax
Becchetti, Leonardo; Ferrari, Massimo; Trenta, U. - In: Journal of financial stability 15 (2014), pp. 127-148
Persistent link: https://www.econbiz.de/10011306467
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The abrogation of the "Impôt sur les opérations de bourse" did not foster the French stock market
Capelle-Blancard, Gunther - In: Finance research letters 17 (2016), pp. 257-266
Persistent link: https://www.econbiz.de/10011596549
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The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel; Lux, Thomas - In: Journal of economic interaction and coordination : JEIC 10 (2015) 1, pp. 119-150
Persistent link: https://www.econbiz.de/10011378750
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The impact of the French securities transaction tax on market liquidity and volatility
Capelle-Blancard, Gunther; Havrylchyk, Olena - In: International review of financial analysis 47 (2016), pp. 166-178
Persistent link: https://www.econbiz.de/10011624107
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Securities Transaction Tax in France : impact on market quality and inter-market price coordination
Gomber, Peter; Haferkorn, Martin; Zimmermann, Kai - 2014
The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are...
Persistent link: https://www.econbiz.de/10010231705
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The impact of financial transaction taxes on stock markets : short-run effects, long-run effects, and migration
Eichfelder, Sebastian; Lau, Mona; Noth, Felix - 2018 - Version: July 2018
We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading...
Persistent link: https://www.econbiz.de/10011901196
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Margin regulation and volatility
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10010258788