| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17238 |
| DP17238 Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation | |
| Marco Cipriani; Antonio Guarino; Andreas Uthemann | |
| 发表日期 | 2022-04-22 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of sixty New York Stock Exchange (NYSE) stocks in 2017. We quantify the effect of introducing an FTT given the parameter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation. |
| 主题 | Financial Economics |
| 关键词 | Financial transaction tax Market microstructure Structural estimation |
| URL | https://cepr.org/publications/dp17238 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546243 |
| 推荐引用方式 GB/T 7714 | Marco Cipriani,Antonio Guarino,Andreas Uthemann. DP17238 Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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