One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?

• 成果类型: Article
• 署名作者: Deng, Yongheng; Liu, Xin; Wei, Shang-Jin
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Australian National University; Columbia University; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.009
• 发表日期: 2018
• 页码: 663-692
• 关键词: Tobin tax; Transaction cost; volatility; speculation; Limits to arbitrage

摘要

We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding capital controls, and different timing of changes in transaction costs), we obtain a control group that has identical corporate fundamentals as the treatment group. We apply the research design to Chinese stocks that are cross-listed in Hong Kong and Mainland China. Second, we allow transaction costs to have different effects in markets with different maturity. We find a significantly negative relationship, on average, between stamp duty increase and price volatility. However, this average effect masks some important heterogeneity. In particular, when institutional investors have become a significant part of the traders' pool, we find an opposite effect. Overall, our results suggest that a Tobin tax could work in an immature market, but can backfire in a more developed market. (C) 2018 Elsevier B.V. All rights reserved.