Securities Transaction Tax and Market Volatility
在一个包含噪音交易的一般均衡框架中，同时解释了证券交易税既可能降低也可能增加市场波动性的两种对立观点，并讨论了仅存在基本面风险或供给风险的特殊情况。
One well-known regulatory mechanism in securities markets is the use of a securities transaction tax (STT). The conventional wisdom suggests that increases in an STT reduce market volatility by discouraging the trading activity of destabilising short-term traders. A contrary view argues that STT may well increase market volatility due to the reduction in market liquidity. This article rationalises both views in a general equilibrium framework with noise trading. With fundamental risk and supply risk the model is able to document both the conventional wisdom and the contrarian view. We also discuss special cases where there is only fundamental risk or supply risk. © Royal Economic Society 2005.