Securities Transaction Taxes and Financial Markets, Issues 2001-2051
International Monetary Fund, 2001 - Börsenumsatzsteuer / Finanzmarkt / Internationaler Finanzmarkt / Kapitalverkehrspolitik / Theorie / Schweden - 29 pages
This paper argues that securities transaction taxes "throw sand" not in the wheels, but into the engine of financial markets where the transformation of latent demands into realized transactions takes place. The paper considers the impact of transaction taxes on financial markets in the context of four questions. How important is trading? What causes price volatility? How are prices formed? How valuable is the volume of transactions? The paper concludes that transaction taxes or such equivalents as capital controls can have negative effects on price discovery, volatility, and liquidity and lead to a reduction in the informational efficiency of markets.
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2.2 percent accounts allocated asset prices basis points billion Black-Scholes call option Campbell and Froot capital controls circumvent close substitutes dealers domestic Empirical studies exchange execution costs exempt expected revenue target financial instruments financial markets fixed-income instruments increase volatility informational efficiency informational role interdealer trading international capital flows inventory latent demands levied macroeconomic Madhavan market liquidity market makers market microstructure market segmentation market volatility mean return migration of volume percent transaction tax place in Stockholm portfolio consisting portfolio of assets price discovery price stabilization price volatility private information quantitative rational expectations realized revenue result risk neutral valuation round-trip Rubinstein 1979 SDRT securities transaction taxes seller stamp duty stock price stock returns supply uncertainty Sweden Swedish experience tax on equity tax rates taxes on financial total revenue trading costs trading hours trading volume transaction prices transaction volume Umlauf volume in Swedish volume migrates