Huber Jürgen, Kleinlercher Daniel, Kirchler Michael
University of Innsbruck, Department of Banking and Finance, Universitätsstrasse 15, 6020 Innsbruck, Austria.
J Econ Dyn Control. 2012 Aug;36(8):1248-1266. doi: 10.1016/j.jedc.2012.03.011.
As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.
随着政治领导人对金融交易税的引入讨论日益增多，我们探讨了此类税收可能对市场产生的后果。在此，我们通过实验室实验研究了不同税收制度如何影响“典型事实”，即厚尾和波动聚集。我们发现，在单边征税市场（存在避税天堂的市场）中，价格回报的峰度最高，波动聚集最弱。相反，在避税天堂中，尾部最窄，波动聚集最强。当征收全面金融交易税时，与所有市场均无税的情况相比，典型事实几乎没有变化。
