The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market

Lina Kalimullina () and Rainer Schöbel ()
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Lina Kalimullina: University of Tübingen
Rainer Schöbel: University of Tübingen

A chapter in Advances in Artificial Economics, 2015, pp 91-103 from Springer

Abstract: Abstract We investigate the distribution of relative returns (RR) among agents who possess varying levels of information in an artificial stock market (ASM). We demonstrate the existence of the J-curve in this market. In contrast to previous studies, the agents in possession of the least information are statistically not different net losers. Moreover, we find that the J-curve is not valid if the relative number of random traders is high. We introduce Tobin-like transaction taxes and show that they destroy liquidity and harm market efficiency. With high taxes, the inequality between agents possessing varying levels of information decreases. However, tax levels dealt with in recent studies influence the market parameters and the J-curve only marginally.

Keywords: Risky Asset; Market Efficiency; Information Level; Limit Order; Order Book (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-319-09578-3_8

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DOI: 10.1007/978-3-319-09578-3_8

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