Securities Transaction Tax and Market Volatility
Bibliographic Data
| ID | 9715922 |
|---|---|
| Authors | Frank M Song (University of Hong Kong), Junxi Zhang (0000-0001-7982-3373, University of Hong Kong) |
| Year | 2005 |
| Volume | 115 |
| Issue | 506 |
| Pages | 1103-1120 |
| Publication date | 2005-10-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2005.01034.x |
| OpenAlex | W2059489523 |
| Language | EN |
| Citations received | 1 |
| References cited | 15 |
One well-known regulatory mechanism in securities markets is the use of a securities transaction tax (STT). The conventional wisdom suggests that increases in an STT reduce market volatility by discouraging the trading activity of destabilising short-term traders. A contrary view argues that STT may well increase market volatility due to the reduction in market liquidity. This article rationalises both views in a general equilibrium framework with noise trading. With fundamental risk and supply risk the model is able to document both the conventional wisdom and the contrarian view. We also discuss special cases where there is only fundamental risk or supply risk. © Royal Economic Society 2005
Business · Contrarian · Database transaction · Economics · Financial economics · Market liquidity · Monetary economics · Third market · Volatility (finance · Financial Markets and Investment Strategies · Financial Reporting and Valuation Research · Financial Risk and Volatility Modeling
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,08 |
| Citation span | 2014 - 2014 (1) |
| Citation velocity | historical |
| Highly cited | No |