Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/71213 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 132
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
This paper investigates the effects of transaction taxes on depth and bid-ask spread under asymmetric information. The paper uses a static model where a monopolistic market maker faces liquidity and informed traders. Introducing transaction taxes could, surprisingly, lead to increase in depth. Under some distributional assumptions, when market conditions are favorable to the dealer, the spread responds less than proportionally to an increase in the transaction tax while the depth actually increases. In contrast, when market conditions are unfavorable to the dealer, the spread widens more than proportionally and the depth decreases, potentially to zero, in response to an increase in the transaction tax. Our model sheds light on the disagreement in the empirical literature on the relative magnitude of transaction costs on trading volume.
Schlagwörter: 
asymmetric information
securities transaction taxes
liquidity
JEL: 
G14
D82
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
275.95 kB





Publikationen in EconStor sind urheberrechtlich geschützt.