The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach

Autor(en): Westerhoff, FH
Dieci, R
Stichwörter: Business & Economics; DYNAMICS; Economics; HERD BEHAVIOR; heterogeneous agents; MODEL; SPECULATIVE MARKETS; technical and fundamental analysis; transaction tax
Erscheinungsdatum: 2006
Herausgeber: ELSEVIER
Journal: JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volumen: 30
Ausgabe: 2
Startseite: 293
Seitenende: 322
Zusammenfassung: 
We develop a model in which boundedly rational agents apply technical and fundamental analysis to identify trading signals in two different speculative markets. Whether an agent trades and, if so, in which market with which strategy depends on profit considerations. As it turns out, an ongoing evolutionary competition between the trading strategies causes complex price dynamics which closely resembles the behavior of actual speculative prices. Moreover, we find that if the agents have to pay a transaction tax in one market, price variability decreases in this market but increases in the other market. However. the imposition of a uniform tax on all transactions stabilizes both markets. Our results suggest that if regulators of a market introduce a transaction tax, other markets are likely to follow. (c) 2005 Elsevier B.V. All rights reserved.
Beschreibung: 
10th International Conference on Computing in Economics and Finance, Amsterdam, NETHERLANDS, JUL, 2004
ISSN: 01651889
DOI: 10.1016/j.jedc.2004.12.004

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