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

Jürgen Huber, Daniel Kleinlercher and Michael Kirchler

Journal of Economic Dynamics and Control, 2012, vol. 36, issue 8, 1248-1266

Abstract: 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.

Keywords: Financial transaction tax; Stylized facts; Fat tails; Volatility clustering; Experiment (search for similar items in EconPapers)
JEL-codes: C91 E62 F31 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:36:y:2012:i:8:p:1248-1266

DOI: 10.1016/j.jedc.2012.03.011

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