Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
نویسندگان
چکیده
We develop a new methodology to estimate the impact of financial transaction tax (FTT) on market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. model through maximum likelihood for sample 60 NYSE stocks in 2017. quantify effect introducing an FTT given parameter estimates. An increases proportion trading, improves information aggregation, but lowers volume welfare. For some less liquid stocks, however, blocks private aggregation.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2022
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2022.04.007