eprintid: 10150091
rev_number: 10
eprint_status: archive
userid: 699
dir: disk0/10/15/00/91
datestamp: 2022-06-14 12:02:52
lastmod: 2023-11-29 11:14:00
status_changed: 2022-06-14 12:02:52
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Guarino, Antonio
creators_name: Cipriani, Marco
creators_name: Uthemann, Andreas
title: Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
ispublished: pub
divisions: C03
divisions: F24
divisions: B03
divisions: UCL
keywords: Financial Transaction Tax, Market Microstructure, Structural Estimation
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: 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 parameter 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.
date: 2022-12
date_type: published
publisher: Elsevier
official_url: https://doi.org/10.1016/j.jfineco.2022.04.007
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 1953799
doi: 10.1016/j.jfineco.2022.04.007
lyricists_name: Guarino, Antonio
lyricists_id: AGUAR93
actors_name: Guarino, Antonio
actors_id: AGUAR93
actors_role: owner
full_text_status: public
publication: Journal of Financial Economics
volume: 146
number: 3
pagerange: 1044-1072
citation:        Guarino, Antonio;    Cipriani, Marco;    Uthemann, Andreas;      (2022)    Financial transaction taxes and the informational efficiency of financial markets: A structural estimation.                   Journal of Financial Economics , 146  (3)   pp. 1044-1072.    10.1016/j.jfineco.2022.04.007 <https://doi.org/10.1016/j.jfineco.2022.04.007>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10150091/1/FTT_JFE_final.pdf