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Securities Transaction Taxes Stt Impacts On Excess Volatility And Market Efficiency
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Book Synopsis Securities Transaction Taxes (STT): Impacts on Excess Volatility and Market Efficiency by : Sowmya Balasubramanian
Download or read book Securities Transaction Taxes (STT): Impacts on Excess Volatility and Market Efficiency written by Sowmya Balasubramanian and published by . This book was released on 2005 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Ramifications of a Securities Transactions Tax for the Function and Efficiency of Capital Markets by : Paul H. Kupiec
Download or read book On the Ramifications of a Securities Transactions Tax for the Function and Efficiency of Capital Markets written by Paul H. Kupiec and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Securities Transaction Taxes and Market Quality of Equity and Futures Markets by : George H. K. Wang
Download or read book Securities Transaction Taxes and Market Quality of Equity and Futures Markets written by George H. K. Wang and published by . This book was released on 2018 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses arguments for and against a securities transaction tax (STT) and evaluates the pros and cons based on a review of empirical evidence concerning the impact of STTs on equity and futures markets (i.e., trading volume, bid-ask spreads, and price volatility) and market efficiency in various countries. I find that an STT would likely reduce trading volume and increase trading cost, but may not reduce price volatility. The size of potential STT revenue depends on the STT's impact on market activity. A sizable STT on futures and equity markets would not only fail to generate the expected tax revenue, it would also likely hurt the international competitiveness of US equity and futures markets.
Book Synopsis Securities Transaction Taxes by : Catalyst Institute
Download or read book Securities Transaction Taxes written by Catalyst Institute and published by Irwin Professional Publishing. This book was released on 1994 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: You'll gain an understanding of all sides of this public policy debate - implementation issues, global concerns, and more - that will help you to gage the soundness of current arguments for and against STTs and to come to your own conclusions about their effectiveness.
Book Synopsis Does Securities Transaction Tax Distort Market Microstructure? Evidence from Indian Stock Market by : Dhananjay Sahu
Download or read book Does Securities Transaction Tax Distort Market Microstructure? Evidence from Indian Stock Market written by Dhananjay Sahu and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Tapping into the quot;psychologyquot; of the market, speculators resort to quot;noise-tradingquot; rather trading on the basis of the real value of the stock and this behavior has the potential to distort the market microstructure as evidenced in most developed and developing financial markets. The popular international practice of curbing such quot;noise-tradingquot; has been the introduction of securities transaction tax on a broad range of financial transactions. In consonance with the international practice and the general philosophy that financial stability should be treated as public good, Indian policy makers have introduced securities transaction tax in October, 2004 despite divergent opinions on the effect of STT on financial markets. The objective of this paper is to examine the impact of STT on market volatility and liquidity in Indian stock market. The data comprises of eleven frequently traded equity instruments listed at National Stock Exchange, India and spans over a period of 2 years before and 2 years after the introduction of securities transaction tax. Owing to the heteroscedasticity behavior of time series data, ARCH family of model is used to study the impact. The results indicate that the introduction of securities transaction tax has had no impact on market volatility and also it does not distort the liquidity in Indian stock market. Further, the result also implies an interesting fact that the informational efficiency of the market is not affected by the introduction of STT.
Book Synopsis The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility by : Gunther Capelle-Blancard
Download or read book The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility written by Gunther Capelle-Blancard and published by . This book was released on 2016 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market liquidity and volatility. To identify causality, we rely on a distinctive design of the tax, which is imposed on large French firms only, all listed on Euronext. This provides two reliable control groups (smaller French firms and foreign firms listed on Euronext) and allows us to use a difference-in-difference approach in order to isolate the impact of the tax from the other economic changes that have occurred simultaneously. We find that the STT has reduced stock trading, but we find no significant effect on theoretically based measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust whether we rely on different control groups (German stocks listed on the Deutsche Börse), different datasets (firm-level or aggregated data), different periods (from one to six months), or different methodologies (propensity score matching, regression discontinuity design).
Book Synopsis Securities Transaction Tax and Market Quality - The Case of France by : Martin Haferkorn
Download or read book Securities Transaction Tax and Market Quality - The Case of France written by Martin Haferkorn and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The French Securities Transaction Tax (also referred as French Tobin Tax) implementation on August 1st, 2012, is considered a landmark development within financial markets regulation. However, until today the controversy about possible drawbacks and applicability of a Securities Transaction Tax (STT) has not reached a conclusion and consequences for market quality and market efficiency are yet to be thoroughly assessed. In this light a rigorous assessment on the STT's effect on market quality and market efficiency is highly desirable as it provides guidance for academics, regulators and practitioners alike. On the basis of a comparison of the French CAC40 with the German DAX, we provide evidence that trading volume significantly drops after the introduction of the STT. Even though the French proposal exempts professional liquidity providing activities, we find increased spreads and a strong decline in top order book depth resulting in additional costs for market participants beside the transaction tax. Most alerting, as the tax affects trading on all French listing venues, we find this deterioration in market efficiency threatening inter-market information transmission by impairing price coordination among the European fragmented markets.
Book Synopsis Securities Transaction Taxes and Financial Markets by : Karl Habermeier
Download or read book Securities Transaction Taxes and Financial Markets written by Karl Habermeier and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Book Synopsis Financial Transactions Taxes by : Mr.Parthasarathi Shome
Download or read book Financial Transactions Taxes written by Mr.Parthasarathi Shome and published by International Monetary Fund. This book was released on 1995-08-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial transactions taxes have recently gained attention as a possible means to influence the behavior of financial markets and to reduce destabilizing capital flows. One variation is a tax on all foreign currency conversions, often termed a “Tobin tax.” This paper suggests that these taxes would probably not produce the desired effects and would be difficult to design and implement. It is unclear that the possible advantages in reducing some short-term speculative trading would outweigh the possible disadvantages in impairing the efficiency of financial markets. From an administrative perspective, without a broad international consensus and application, these taxes are likely to be easily avoided.
Book Synopsis Financial sector taxation by : [Anonymus AC08741538]
Download or read book Financial sector taxation written by [Anonymus AC08741538] and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The global economic and financial crisis has created important needs for fiscal consolidation. This document analyses potential instruments to raise additional tax revenues from the financial sector. The first section reviews the current policy objectives related to the taxation of the financial sector. The second section sheds some light on the current tax treatment of the financial sector. The third section discusses potential tax instruments to reach the goals. The fourth and fifth section respectively assess the advantages and drawbacks of a Financial Transaction Tax and a Financial Activities Tax."--Editor.
Book Synopsis Taxing Financial Transactions by : Ms.Thornton Matheson
Download or read book Taxing Financial Transactions written by Ms.Thornton Matheson and published by International Monetary Fund. This book was released on 2011-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In reaction to the recent financial crisis, increased attention has recently been given to financial transaction taxes (FTTs) as a means of (1) raising revenue for a variety of possible purposes and/or (2) helping to curb financial market excesses. This paper reviews existing theory and evidence on the efficacy of an FTT in fulfilling those tasks, on its potential impact, and on key issues to be faced in designing taxes of this kind.
Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
Book Synopsis Measuring Liquidity in Financial Markets by : Abdourahmane Sarr
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Download or read book The Tobin Tax written by Mahbub ul Haq and published by New York : Oxford University Press. This book was released on 1996 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This guide to coping with financial volatility should be of interest to academics and economists with interest in finance and international development.
Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa
Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
