Financial transaction taxes and the informational efficiency of financial markets: A structural estimation

• 成果类型: Article
• 署名作者: Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of London; University College London; Bank of Canada; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.04.007
• 发表日期: 2022
• 页码: 1044-1072
• 关键词: Financial transaction tax; Market microstructure; structural estimation

摘要

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the param-eter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation.(c) 2022 Published by Elsevier B.V.