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The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse

Citations

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Cited by:

  1. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
  2. repec:ces:ifodre:v:24:y:2017:i:05:p:09-14 is not listed on IDEAS
  3. Thomas Hemmelgarn & Gaetan Nicodeme, 2010. "The 2008 Financial Crisis and Taxation Policy," Taxation Papers 20, Directorate General Taxation and Customs Union, European Commission.
  4. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
  5. Pellizzari, Paolo & Westerhoff, Frank, 2009. "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
  6. Nicole Aregger & Martin Brown & Enzo Rossi, 2013. "Transaction Taxes, Capital Gains Taxes and House Prices," Working Papers 2013-02, Swiss National Bank.
  7. Kate Phylaktis & Antonis Aristidou, 2007. "Security transaction taxes and financial volatility: Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1455-1467.
  8. V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
  9. repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9649-9 is not listed on IDEAS
  10. Yuming Fu & Wenlan Qian & Bernard Yeung, 2013. "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers 19400, National Bureau of Economic Research, Inc.
  11. Bofinger, Peter & Franz, Wolfgang & Schmidt, Christoph M. & Weder di Mauro, Beatrice & Wiegard, Wolfgang, 2010. "Chancen für einen stabilen Aufschwung. Jahresgutachten 2010/11," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201011.
  12. Hvozdyk, Lyudmyla & Rustanov, Serik, 2016. "The effect of financial transaction tax on market liquidity and volatility: An Italian perspective," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 62-78.
  13. Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian, 2015. "Can a financial transaction tax prevent stock price booms?," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 90-109.
  14. repec:eee:ecmode:v:64:y:2017:i:c:p:322-333 is not listed on IDEAS
  15. Capelle-Blancard, Gunther & Havrylchyk, Olena, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 166-178.
  16. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
  17. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  18. Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
  19. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  20. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
  21. Yuming Fu & Wenlan Qian & Bernard Yeung, 2016. "Speculative Investors and Transactions Tax: Evidence from the Housing Market," Management Science, INFORMS, vol. 62(11), pages 3254-3270, November.
  22. Olivier Damette, 2009. "Exchange rate volatility and noise traders: Currency Transaction Tax as an eviction device," Economics Bulletin, AccessEcon, vol. 29(3), pages 2449-2464.
  23. Huber, Jürgen & Kleinlercher, Daniel & Kirchler, Michael, 2012. "The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1248-1266.
  24. Markku Lanne & Timo Vesala, 2010. "The effect of a transaction tax on exchange rate volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 123-133.
  25. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper 202, CPB Netherlands Bureau for Economic Policy Analysis.
  26. repec:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2 is not listed on IDEAS
  27. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
  28. Kirchler, Michael & Huber, Jürgen & Kleinlercher, Daniel, 2011. "Market microstructure matters when imposing a Tobin tax—Evidence from the lab," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 586-602.
  29. European Commission, 2010. "Innovative Financing at a Global Level," Taxation Papers 23, Directorate General Taxation and Customs Union, European Commission.
  30. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
  31. Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
  32. Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016. "Financial Transaction Taxes in the European Union," National Tax Journal, National Tax Association;National Tax Journal, vol. 69(1), pages 217-240, March.
  33. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
  34. Deng, Yongheng & Liu, Xin & Wei, Shang-Jin, 2018. "One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?," Journal of Financial Economics, Elsevier, vol. 130(3), pages 663-692.
  35. Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010. "The economic consequences of a Tobin tax--An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
  36. repec:ind:icrier:254 is not listed on IDEAS
  37. repec:eee:finana:v:53:y:2017:i:c:p:12-24 is not listed on IDEAS
  38. Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730, arXiv.org.
  39. Buss, Adrian & Dumas, Bernard J, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
  40. Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
  41. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
  42. Ferdinand Fichtner & Kerstin Bernoth & Franziska Bremus & Karl Brenke & Christian Dreger & Burcu Erdogan & Hendrik Hagedorn & Vladimir Kuzin & Katharina Moll & Maximilian Podstawski & Jasper Scheppe &, 2010. "Sommergrundlinien 2010," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 77(26), pages 2-28.
  43. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
  44. repec:bla:eufman:v:22:y:2016:i:2:p:313-337 is not listed on IDEAS
  45. repec:wly:econjl:v:127:y:2017:i:605:p:f610-f631 is not listed on IDEAS
  46. Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2014. "Market vs. residence principle : experimental evidence on the effects of a financial transaction tax," Economics Working Papers ECO2014/03, European University Institute.
  47. Damette, Olivier, 2016. "Mixture Distribution Hypothesis And The Impact Of A Tobin Tax On Exchange Rate Volatility: A Reassessment," Macroeconomic Dynamics, Cambridge University Press, vol. 20(6), pages 1600-1622, September.
  48. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
  49. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
  50. Thornton Matheson, 2011. "Taxing Financial Transactions; Issues and Evidence," IMF Working Papers 11/54, International Monetary Fund.
  51. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
  52. Anna Pomeranets & Daniel G. Weaver, 2011. "Security Transaction Taxes and Market Quality," Staff Working Papers 11-26, Bank of Canada.
  53. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
  54. European Commission, 2010. "Tax Policy after the Crisis: Monitoring Tax Revenues and Tax Reforms in EU Member States 2010 Report," Taxation Papers 24, Directorate General Taxation and Customs Union, European Commission.
  55. Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers 2012-26, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  56. repec:eco:journ1:2018-04-32 is not listed on IDEAS
  57. Michler Albrecht F. & Penatzer Markus, 2012. "Finanztransaktionssteuer: Zielsetzungen und potenzielle Auswirkungen / Financial transaction tax: Objectives and potential effects," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 63(1), pages 85-108, January.
  58. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Jun 2019.
  59. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-44.
  60. Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008. "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers 518, Institut d'Économie Industrielle (IDEI), Toulouse.
  61. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
  62. Sabastine Mushori & Delson Chikobvu, 2016. "A Stochastic Multi-stage Trading Cost model in optimal portfolio selection," EERI Research Paper Series EERI RP 2016/23, Economics and Econometrics Research Institute (EERI), Brussels.
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