• Medientyp: E-Book
  • Titel: One Fundamental and Two Taxes : When Does a Tobin Tax Reduce Financial Price Volatility?
  • Beteiligte: Deng, Yongheng [Verfasser:in]; Liu, Xin [Sonstige Person, Familie und Körperschaft]; Wei, Shang-Jin [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2020]
  • Umfang: 1 Online-Ressource (76 p)
  • Sprache: Englisch
  • Entstehung:
  • Anmerkungen: In: Journal of Financial Economics (JFE), Vol. 130, 2018
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 2017 erstellt
  • Beschreibung: 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. 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. This suggests that a Tobin tax may work in an immature market but can backfire in a more developed market
  • Zugangsstatus: Freier Zugang