This papers studies the impact of a financial transactions tax on the trading volume and asset price volatility in a model with heterogeneous beliefs. To model heterogeneous beliefs we follow Kurz (1994, 1997) and restrict the class of beliefs to the subset of rational beliefs. We study a tax on bond and asset purchases. The simulated model shows that the introduction of a transaction tax resul...

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, Spain) and their domestic banks during the period June 2007 May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the composition of both banks’ and sovereign balance sheets and, moreover, affected the linkage between the default...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured different degrees of stringency. We exploit this considerable variation in short-sales regimes to identify ...

This survey summarizes and analyzes theoretical, empirical and experimental research that addresses limit order book transparency in securities markets. We conclude that changes in market design that alter transparency have far reaching but complex impacts on market quality, market efficiency and price discovery. We suggest that future research into the impact of transparency choices in market ...

The Securities and Exchange Commission adopted Rule 11Ac1-5 on November 15, 2000. The rule requires market centers to make monthly electronic disclosures of basic information regarding execution quality. The rule is intended to empower market forces with the means to achieve a more competitive and efficient national market system by increasing the visibility of execution quality. We find that t...

This paper investigates the e¤ect of country-level …nancial development on the formation of corporate groups. Since cross-country regressions are hard to interpret in a causal sense, we use exogenous industry measures to investigate a speci…c channel through which …nancial development may a¤ect group a¢ liation: internal capital markets. Using a comprehensive …rm-level dataset on European corpo...

This paper assesses the effect of political institutions on stock market performance in 14 African countries for which stock market data is available for the period 1990-2010. The estimation technique used is a Two-Stage-Least Squares Instrumental Variable methodology. Political regime channels of democracy, polity and autocracy are instrumented with legal-origins, religious-legacies, income-le...

Is the observed large increase in consumer indebtedness since the 1980s beneficial for U.S. consumers? This paper quantitatively studies the macroeconomic and welfare implications of relaxing borrowing constraints when consumers exhibit a hyperbolic discounting preference. The model can capture two contrasting views: the positive view, which links increased indebtedness to financial innovation ...

On September 4, 2002, the SEC implemented a de minimis exemption to the trade-through rule for three active ETFs, allowing markets to execute trades at prices up to three cents worse than those posted elsewhere. Relaxing the trade-through rule does not worsen ETF market quality. Effective and realized spreads are essentially unchanged or slightly smaller post-event, and prices become slightly m...

The aim of this paper is to study the relationship between the shadow economy and corruption as determinants of public debt in the Spanish Autonomous Communities. In addition, we construct a Corruption Perception Index for those regions. Our data constitute panel data for the period 2000–2012. The results show that the volume of the shadow economy has a significant and positive impact on region...