Speculative Investors and Transactions Tax: Evidence from the Housing Market

• 成果类型: Article
• 署名作者: Fu, Yuming; Qian, Wenlan; Yeung, Bernard
• 署名单位: National University of Singapore; National University of Singapore; National University of Singapore; National University of Singapore
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2268
• 发表日期: 2016
• 页码: 3254-3270
• 关键词: transaction tax; volatility; speculators; informed traders; noise traders; Housing market

摘要

This paper examines the impact of a policy change in transaction tax on speculators. The policy intervention took place in Singapore's housing market; it effectively raised the transaction cost in a segment favored by short-term speculators. Relative to the unaffected control sample, we find that the rise in transaction cost, equivalent to a two- to three-percentage-point increase in transaction tax, reduced speculative trading in the treatment segment by 75% and raised its price volatility by 18%. It also significantly reduced price informativeness. We further show that the results are likely due to a relatively greater withdrawal by informed speculators than by destabilizing speculators following the transaction cost increase.