One fundamental and two taxes: when does a Tobin tax reduce financial price volatility?
dc.contributor.author | Deng, Yongheng | |
dc.contributor.author | Liu, Xin | |
dc.contributor.author | Wei, Shang-Jin | |
dc.date.accessioned | 2018-05-23T05:35:00Z | |
dc.date.issued | 2018 | |
dc.description.abstract | 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. | en_AU |
dc.format.mimetype | application/pdf | en_AU |
dc.identifier.issn | 0304-405X | en_AU |
dc.identifier.uri | http://hdl.handle.net/1885/143579 | |
dc.provenance | http://www.sherpa.ac.uk/romeo/issn/0304-405X/..."Author's post-print on open access repository after an embargo period of between 12 months and 48 months" from SHERPA/RoMEO site (as at 21/05/18). This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.publisher | Elsevier | en_AU |
dc.rights | © 2018 Elsevier B.V | en_AU |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.source | Journal of Financial Economics | en_AU |
dc.subject | Tobin tax | en_AU |
dc.subject | Transaction cost | en_AU |
dc.subject | Volatility | en_AU |
dc.subject | Speculation | en_AU |
dc.subject | Limits to arbitrage | en_AU |
dc.title | One fundamental and two taxes: when does a Tobin tax reduce financial price volatility? | en_AU |
dc.type | Journal article | en_AU |
dcterms.accessRights | Open Access | en_AU |
local.contributor.affiliation | Liu, Xin, Research School of Finance, Actuarial Studies & Statistics, College of Business and Economics, The Australian National University | en_AU |
local.contributor.authoremail | xin.liu@anu.edu.au | en_AU |
local.contributor.authoruid | u5645609 | en_AU |
local.identifier.ariespublication | u3102795xPUB266 | |
local.identifier.doi | 10.1016/j.jfineco.2018.04.009 | en_AU |
local.identifier.uidSubmittedBy | u1005913 | en_AU |
local.publisher.url | https://www.elsevier.com/ | en_AU |
local.type.status | Accepted Version | en_AU |