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  Financial Transaction Taxes and their impact on financial markets
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Ophav

 Ophav:
Baadsgaard, Thomas1, Forfatter
Norman Sørensen, Peter 2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: transaction tax, tobin tax,
 Abstract:
The purpose of this thesis is to investigate how imposing a transaction tax affects the financial market. More specifically, which effects imposing a financial transaction tax has on market volatility and market liquidity. Additionally the reactions made by the market participants are investigated. Finally the optimal design of a financial transaction tax and its’ feasibility is assessed.
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Bemærkninger:
-
Tilgængelighed:
Offentlig
Mime-type / størrelse:
application/pdf / 2MB
Copyright dato:
2013-03-07
Copyright information:
De fulde rettigheder til dette materiale tilhører forfatteren.
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:44681:1
 Type: Speciale
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Detaljer

Sprog: English - eng
 Datoer: 2012-12-03
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: Preface . 2
Summary . 3
1 Introduction 9
1.1 Research questions 10
1.2 Structure of thesis 11
1.3 Author’s note . 12
2 Important concepts and definitions 13
2.1 Financial Transaction Tax . 13
2.2.1 Securities transaction tax 13
2.2.2 Currency Transaction Tax 14
2.2.3 Purpose of financial transaction taxes 14
2.3 Market Volatility . 15
2.4 Market Liquidity 16
3 Literature review 17
3.1 Financial Transaction taxation . 17
3.1.1 Keynes 1936 . 17
3.1.2 Tobin 1972 . 18
3.1.3 Spahn 1995 . 20
3.1.4 Early criticism 20
3.2 Modeling financial transaction taxes . 21
3.2.1 Different market microstructures . 22
3.2.2 Two markets model 23
3.3 Alternative models . 25
3.3.1 Game theoretical models 25
3.3.2 Zero intelligence models 27
3.3.3 Hybrid model 27
3.4 Sum up and concluding remarks . 28
4 Model . 29
4.1 Market microstructure . 29
4.2 Agents 30
4.2.1 Informed traders . 31
4.2.2 Uninformed traders 32
4.2.3 Market makers 32
4.3 Timing . 33
4.4 Measures liquidity and volatility . 33
4.5 Solving the model without a transaction tax . 35
4.5.1 Equilibrium . 37
4.5.2 Liquidity . 38
4.5.3 Volatility . 39
4.5.4 Price efficiency . 40
4.6 Solving the model with a transaction tax. 41
4.6.1 Equilibrium with transaction tax 43
4.6.2 Liquidity with a transaction tax 44
4.6.3 Volatility with a transaction tax . 45
4.6.4 Price efficiency with a transaction tax . 45
4.7 Model critique 46
4.8 Possible expansions of the model 47
4.9 Conclusion of section 48
5 Empirical Analysis . 49
5.1 Swedish financial transaction tax 50
5.1.1 Umlauf 1993 . 50
5.2 China 53
5.2.1 Wang and Li 2012 53
5.3 UK stamp duty . 56
5.3.1 Saporta and Kan 1997 56
5.4 Alternate empirical investigations . 58
5.5 Sum up and concluding remarks . 59
6 Comparing results 60
6.1 Conclusion from the model . 60
6.2 Conclusion from theoretical literature . 60
6.3 Conclusion from the empirical literature . 61
6.4 Comparison 61
6.5 Critique 62
6.6 Critique of theoretical literature 63
6.7 Critique of empirical literature 63
7 Financial transaction tax design and feasibility . 65
7.1 Tax avoidance by substitution . 66
7.1.1 Which financial instruments should be taxed? . 66
7.1.2 Tax rate . 71
7.2 Tax avoidance by migration 72
7.2.1 Unilateral or multilateral 73
7.3 Tax collection 74
7.4 Feasibility 75
8 Conclusion 77
9 Biography . 80
9.1 Books . 80
9.2 Papers. 80
9.3 Websites. 81
 Note: -
 Type: Speciale
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