The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab

DOI10.1016/J.JEDC.2012.03.011MaRDI QIDQ310972zbMATH OpenOpenAlexWikidataFDO

Authors Daniel Kleinlercher, Michael Kirchler, Jürgen Huber

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jedc.2012.03.011

zbMATH Keywords

experimentvolatility clusteringfat tailsstylized factsfinancial transaction tax

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Experimental studies (91A90) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1968547 (Why is no real title available?)
• scientific article; zbMATH DE number 1550531 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Asset prices, traders' behavior and market design
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Introduction to Econophysics
• Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility *
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
• Tobin tax and market depth

Cited in

(6)

• Are transaction taxes a cause of financial instability?
• An experiment on the efficiency of bilateral exchange under incomplete markets
• How tournament incentives affect asset markets: a comparison between winner-take-all tournaments and elimination contests
• Effects of securities transaction taxes on depth and bid-ask spread
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
• Effect of Tobin tax on trading decisions in an experimental minority game

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