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The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- Huber, Jürgen (author)
- Kleinlercher, D. (author)
-
- Kirchler, Michael, 1977 (author)
- Gothenburg University,Göteborgs universitet,Centrum för finans,Institutionen för nationalekonomi med statistik,Centre for Finance,Department of Economics
- (creator_code:org_t)
- Elsevier BV, 2012
- 2012
- English.
- In: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
- Journal article (peer-reviewed)
Abstract
Subject headings
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- 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.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Keyword
- Financial transaction tax
- Stylized facts
- Fat tails
- Volatility clustering
- Experiment
- tobin tax
- stock-market
- behavior
- volatility
- traders
- costs
Publication and Content Type
- ref (subject category)
- art (subject category)
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