Securities Transaction Tax and Market Volatility  

Oleh:

Song, Frank M. ; Junxi, Zhang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 115 no. 506 (Oct. 2005), page 1103-1120.
Topik: TRANSACTION TAX; securities transaction tax; market volatility
Fulltext: 1103.pdf (180.06KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.19 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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