Financial Transaction Taxes anf the Informational Efficiency of Financial Markets: A Structural Estimation

Antonio Guarino, Andreas Uthemann and Marco Cipriani

No 1165, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: We develop a novel methodology to quantify the impact of a financial transaction tax on informational efficiency and market liquidity. We present a model of sequential trading with price elastic liquidity traders and traders with private information of heterogeneous quality. We estimate the model for a stock and then use these estimates to simulate the effect a transaction tax. For the specific stock used in the analysis we find that a financial transaction tax has a negative effect on informational efficiency. A 0.2 percent tax, as has for example been implemented in France, would lead to a 10 percent drop in volume in our asset market and to a much slower convergence of the price to the asset fundamental value.

Date: 2015
New Economics Papers: this item is included in nep-mst
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Related works:
Journal Article: Financial transaction taxes and the informational efficiency of financial markets: A structural estimation (2022)
Working Paper: Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation (2022)
Working Paper: Financial transaction taxes and the informational efficiency of financial markets: a structural estimation (2022)
Working Paper: Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation (2021)
Working Paper: Financial transaction taxes and the informational efficiency of financial markets: a structural estimation (2019)
Working Paper: Financial transaction taxes and the informational efficiency of financial markets: a structural estimation (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:1165

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