The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab

• As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. (C) 2012 Elsevier B.V. All rights reserved.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Business Administration (hsv//eng)

Nyckelord

Financial transaction tax

Stylized facts

Fat tails

Volatility clustering

Experiment

tobin tax

stock-market

behavior

volatility

traders

costs

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)