Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread
نویسندگان
چکیده
منابع مشابه
Comment on “Securities Transaction Taxes and Financial Markets”
The paper “Securities Transaction Taxes and Financial Markets” by Karl Habermeier and Andrew Kirilenko is an excellent overview of the literature and key issues related to securities transaction taxes (hereafter referred to as STTs). The paper does a particularly good job of linking arguments from very different strands of literature—ranging from work on market microstructure to corporate finan...
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This paper examines the viability of security transaction excise taxes (STETs) as one policy tool for promoting a more stable financial environment, specifically with respect to the U.S. economy. Contrary to a large recent critical literature, we show that a STET can be designed without creating large distortions between segments of the financial market. We also show that a modest STET for the ...
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Our objective is to study liquidity risk, in particular the so-called “limit order books”, as a by-product of market uncertainties. “Limit order books” describe the existence of different sell and buy prices, which we explain by using different risk aversions of the agents. The risky assets follows a local volatility diffusion governed by a Brownian motion which is uncertain. We use the error t...
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ژورنال
عنوان ژورنال: Economic Theory
سال: 2006
ISSN: 0938-2259,1432-0479
DOI: 10.1007/s00199-006-0097-3