Transaction tax, heterogeneous traders and market volatility

doi:10.1108/K-10-2014-0223

CSpace > 系统科学研究所

	Transaction tax, heterogeneous traders and market volatility
	Li, Hongquan 1; Cheng, Gang 2; Wang, Shouyang3
	2015
发表期刊	KYBERNETES
ISSN	0368-492X
卷号	44 期号:5 页码:757-770
摘要	Purpose - The securities transaction tax (STT) has been theoretically considered as an important regulation device for decades. However, its role and effectiveness in financial markets is still not well understood both theoretically and empirically. By use of agent-based modeling method, the purpose of this paper is to present a new artificial stock market model with self-adaptive agents, which allows the assessment of the impacts from various levels of STTs in distinctive market environments and thus a comprehensive understanding of the effects of STTs is achieved. Design/methodology/approach - In the model, agents are allowed to employ the strategies used by the following five types of investors: contrarians, random traders, momentum traders, fundamentalists and exit strategy holders. Specifically, the authors start with the investigation of the dynamics of a tax free benchmark market; then the patterns of market behaviors and the behaviors of various types of investors are discussed with different levels of STTs in markets with mild and high fluctuations. Findings - The simulation results consistently show that a moderate transaction tax does contribute to market stabilization in terms of reducing market volatility while with a price of mild decrease of market efficiency and liquidity. The findings suggest that a balance between market stability and efficiency could be reached if regulatory authorities introduce STTs to markets discreetly. Originality/value - This paper enriches the comprehensive understanding of the effects of STT, and gives good explanation about the controversy between Tobin's proponents and anti-Tobin group.
关键词	Economics Risk management Complexity Simulation Modelling
DOI	10.1108/K-10-2014-0223
语种	英语
资助项目	National Natural Science Foundation of China[71001036] ; National Natural Science Foundation of China[71473081] ; MOE (Ministry of Education in China) Project of Humanities and Social Sciences[14YJA790025]
WOS研究方向	Computer Science
WOS类目	Computer Science, Cybernetics
WOS记录号	WOS:000359057900007
出版者	EMERALD GROUP PUBLISHING LIMITED
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/20512
专题	系统科学研究所
通讯作者	Li, Hongquan
作者单位	1.Hunan Normal Univ, Sch Business, Changsha, Hunan, Peoples R China 2.Univ Minnesota Twin Cities, Sch Stat, St Paul, MN USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Li, Hongquan,Cheng, Gang,Wang, Shouyang. Transaction tax, heterogeneous traders and market volatility[J]. KYBERNETES,2015,44(5):757-770.
APA	Li, Hongquan,Cheng, Gang,&Wang, Shouyang.(2015).Transaction tax, heterogeneous traders and market volatility.KYBERNETES,44(5),757-770.
MLA	Li, Hongquan,et al."Transaction tax, heterogeneous traders and market volatility".KYBERNETES 44.5(2015):757-770.