The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab

DOI10.1016/j.jedc.2012.03.011zbMath1345.91043OpenAlexW2085546657WikidataQ36743576 ScholiaQ36743576MaRDI QIDQ310972

Michael Kirchler, Daniel Kleinlercher, Juergen Huber

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.03.011

zbMATH Keywords

experimentvolatility clusteringstylized factsfat tailsfinancial transaction tax

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial applications of other theories (91G80) Experimental studies (91A90)

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Uses Software

• Z-Tree

Cites Work

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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility *
• Introduction to Econophysics
• Tobin tax and market depth