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Article: Securities transaction tax and market volatility

TitleSecurities transaction tax and market volatility
Authors
Issue Date2005
PublisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECOJ
Citation
Economic Journal, 2005, v. 115 n. 506, p. 1103-1120 How to Cite?
AbstractOne 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. © Royal Economic Society 2005.
Persistent Identifierhttp://hdl.handle.net/10722/85651
ISSN
2015 Impact Factor: 2.37
2015 SCImago Journal Rankings: 3.390
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorSong, FMen_HK
dc.contributor.authorZhang, Jen_HK
dc.date.accessioned2010-09-06T09:07:37Z-
dc.date.available2010-09-06T09:07:37Z-
dc.date.issued2005en_HK
dc.identifier.citationEconomic Journal, 2005, v. 115 n. 506, p. 1103-1120en_HK
dc.identifier.issn0013-0133en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85651-
dc.description.abstractOne 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. © Royal Economic Society 2005.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECOJen_HK
dc.relation.ispartofEconomic Journalen_HK
dc.rightsThe Economic Journal. Copyright © Blackwell Publishing Ltd.en_HK
dc.titleSecurities transaction tax and market volatilityen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0013-0133&volume=115&spage=1103&epage=1120&date=2005&atitle=Securities+Transaction+Tax+and+Market+Volatilityen_HK
dc.identifier.emailSong, FM: fmsong@hkucc.hku.hken_HK
dc.identifier.emailZhang, J: jjzhang@econ.hku.hken_HK
dc.identifier.authoritySong, FM=rp01095en_HK
dc.identifier.authorityZhang, J=rp01124en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.1468-0297.2005.01034.xen_HK
dc.identifier.scopuseid_2-s2.0-28244466925en_HK
dc.identifier.hkuros112625en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-28244466925&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume115en_HK
dc.identifier.issue506en_HK
dc.identifier.spage1103en_HK
dc.identifier.epage1120en_HK
dc.identifier.isiWOS:000233275200015-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridSong, FM=7203075605en_HK
dc.identifier.scopusauthoridZhang, J=55367373100en_HK
dc.identifier.citeulike377015-

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