استفاده از بازار مالی مصنوعی برای ارزیابی تاثیر مالیات های معامله شبه توبین
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|9196||2008||18 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Economic Behavior & Organization, Volume 67, Issue 2, August 2008, Pages 445–462
The Tobin tax is a solution proposed by many economists for limiting the speculation in foreign exchange and stock markets and for making these markets stabler. In this paper we present a study on the effects of a transaction tax on one and on two related markets, using an artificial financial market based on heterogeneous agents. The microstructure of the market is composed of four kinds of traders: random traders, fundamentalists, momentum traders and contrarians, and the resources allocated to them are limited. In each market it is possible to levy a transaction tax. In the case of two markets, each trader can choose in which market to trade, and an attraction function is defined that drives their choice based on perceived profitability. We performed extensive simulations and found that the tax actually increases volatility and decreases trading volumes. These findings are discussed in the paper.
The deep financial crises over the past decade, starting with the Mexican pesos crisis in 1994 to the one in Argentina in 2001, raised serious doubts as to the ability of free markets to reflect the “true” value of a specific currency. In fact, too many speculative activities can produce a strong bias in exchange rates and create a monetary crisis, or at least amplify its effects. Many observers claim that a tax on currency transactions may prove a powerful tool for penalizing speculators and stabilizing markets. For these reasons, in recent years there has been an ongoing interest in the idea advanced by some economists (the most famous being James Tobin; see Tobin, 1978) to levy a small tax on currency transactions. Over the last 30 years the volume of foreign exchange trading has increased hugely. In 1973, daily trading volume averaged around $15 billion; today, it averages $1.9 trillion (Galati et al., 2005). Moreover, 90 percent of the trading volume concerns short-term transactions. In general, economists believe that most short-term transactions are of a speculative nature, and many considered them to be a source of market volatility and instability. Instead, medium or long-term transactions are usually related to real investments. In 1936, Keynes in The General Theory of Employment, Interest and Money asserted that the levy of a small tax on all stock exchange transactions should contribute to reducing instability in domestic stock markets. According to Keynes, this tax should discourage speculators from trading, resulting in lower price volatility of the taxed asset. In 1978, the Nobel Prize Laureate in Economics James Tobin proposed the levy of a small tax (0.1 percent) on all foreign exchange transactions. This would penalize short-term speculators but not long-term investors, favoring market stability. Later, several authors (see, e.g., Palley, 1999, Baker, 2000, Felix and Sau, 1996, Jeffrey, 1996 and Kupiec, 1995) proposed a similar solution for other kinds of securities. On the other hand, some economists disagree with Keynes and Tobin’s views. Friedman (1953) challenged these theories, arguing that speculative trading could stabilize prices. Only a few empirical analyses have studied the effects of transaction taxes on price volatility. Umlauf (1993) studied Swedish stock market data and showed that the introduction of a Swedish tax increased the volatility of stock prices. It is worth noting that the tax level was set at 1 percent in 1984 and at 2 percent in 1986: such values are far too high compared with the percentage proposed by Tobin. Habermeier and Kirilenko (2003) analyzed the effects of transaction costs and of capital controls on markets and showed that they can have negative effects on price discovery, volatility and liquidity, reducing market efficiency. They produced evidence that the Tobin tax increases market volatility by discouraging transacting, thereby reducing market liquidity. Palley (2003) argues that the Tobin tax is good for financial stability, and that total transaction costs are not necessarily increased by its imposition. Actually, transaction costs could change the composition of traders, precluding short-term investors from the market. It leads to a reduction in volatility and consequently in total transaction costs. Aliber et al. (2003) demonstrated that a Tobin tax on Foreign Exchange Transactions may increase volatility. They constructed the time series of monthly transaction costs estimates, volatility and volume for four currencies (the British Pound, the Deutsche Mark, the Japanese Yen and the Swiss Franc) for the period of 1977–1999, and showed that volatility is positively correlated with the level of transaction costs, while trading volume is negatively correlated. Their results suggest that an increase in transaction costs leads to a decrease in trading volume. Therefore, the effect of the tax on volatility is exactly the opposite of what the proponents of the Tobin tax would like to have seen. On the other hand, their findings were strongly criticized by Werner (2003), who argued that the direction of causality between tax and volatility/volumes may be just the opposite. In The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach, Westerhoff and Dieci (2006) developed a model in which rational agents apply technical and fundamental analyses for trading in two different markets. Their model shows that if a transaction tax is imposed on one market, speculators leave this market, making it less volatile. Therefore, their model confirms Tobin’s hypothesis. Thus, the debate on whether levying a small tax on each market transaction could help to reduce speculation and price volatility is still open. The reactions of stock markets to the imposition of margin requirements and of short-selling restrictions are still not fully understood, and rules and regulations could be implemented without a clear understanding of their potential impact. It is difficult to test the effects of restrictions on real markets empirically, and the simulation approach could help us to understand these phenomena in a non-invasive way. In this paper, we contribute to this debate by proposing a multi-agent model for analyzing the effects of introducing a transaction tax on one and then on two related stock markets from a structural and behavioral perspective. Our aim is to study if and how market volatility and trading mechanism are influenced by a Tobin tax, and if and how traders change their strategies. Our model is agent-based, and only one asset is negotiated in each market. We developed a simulator acting as an artificial financial market. This computational-experimental approach enabled us to perform several tests and to validate some hypotheses. The microstructure of the market model is composed of four kinds of traders (Raberto et al., 2003): • Random traders, who trade at random; • Fundamentalists, who pursue the “fundamental” value; • Chartists, trend-followers who are divided into ∘ Momentum traders, who follow the market trend; ∘ Contrarian traders, who follow the opposite of the market trend. Each trader is modeled as an autonomous agent, with a limited stock portfolio and cash. No trader can issue orders exceeding the finiteness of the resources available to him. The pricing mechanism of each asset is based on the intersection of the demand–supply curves. In the case of two stock markets, at each simulation step the trader decides in which market to operate by evaluating an attraction function for both markets and deciding accordingly. In particular we studied the dynamics of a single market. When the tax was not applied in a closed market, we obtained the same results as reported in Raberto et al. (2003), with fundamentalist and contrarian traders gaining wealth at the expense of momentum traders and, to a lesser extent, of random traders. We modeled the levy of a transaction tax as a cash draining on each transaction. These findings are the focal point of our paper. We then examined market dynamics and traders’ behavior for two stock markets. First we studied the markets with no tax levied, and then the effects of introducing the tax in one market. We are neither advocates nor opponents of the Tobin tax, but as researchers we look upon the tax simply as a specific measure proposed to achieve a particular economic objective. Our aim is consequently to study whether the introduction of the Tobin tax can stabilize financial markets or not. Levying the tax on one market enabled us to analyze a number of issues, for example whether the taxed market becomes stabler (i.e., volatility in a taxed market is attenuated). The paper is organized as follows. In Section 2 we present the market model, including traders’ behavior, and the price-clearing mechanism. In the subsections of Section 3 we present the results achieved with a single market, and with the interplay of two markets under various tax conditions.
نتیجه گیری انگلیسی
In this paper we have presented a study on the impact of securities transaction taxes in financial markets, performed using an artificial stock market. We used a simple market model with four kinds of agents, that model typical traders’ behavior in financial markets: random traders, fundamentalists and two kinds of chartists. The market model is closed, as each trader is given a limited amount of cash and stocks. The price clearing mechanism matches supply and demand curves. The market parameters are tuned in such a way that a simulation step roughly corresponds to a trading day. Overall, this market model is fairly complete and yields price series with the classical stylized properties found in real price series (i.e., apparent random-walk behavior of prices, fat-tailed distribution of returns and volatility clustering). First we performed numerous computations for a single market, varying trader composition and tax rate. Levying a tax influences market behavior significantly, even when the rate is low. Price volatility increases consistently with tax rate, but only when chartist traders are present in the market. These results concur with many empirical findings and provide a measure, using a theoretical model, of the impact of a change in market regulation. However, they can in no way be regarded as conclusive. Trader and/or market models with only slight differences can yield very different results, so further studies are needed to gain a greater insight into market behavior. We then studied two related markets, giving each trader the opportunity to choose at each time step the market s/he prefers to trade in, according to an attraction function. We performed simulations on this market pair with no tax levied, and then taxing one market. First, we observed that, irrespective of trader composition and tax rate, the interplay of markets leads to an increase in price volatility. Second, we found that, notwithstanding the small transaction tax (typically 0.1–0.5 percent of transaction cost) and the simple trader models used, the tax actually heavily impacts market behavior, increasing price volatility and reducing trading volumes. This happens only with trader compositions sensitive to the tax, namely those including chartist traders. Despite the low tax rate, introducing the transaction tax significantly increases price volatility, computed for different time horizons and reduces trading volumes, though to a lesser extent. These findings confirm the view that an increase in transaction costs produced by levying the tax, leads to a reduction in market volume and to greater volatility. This behavior appears to be quite robust, in the sense that the effects of the tax are observed for most trader compositions and do not depend on the interplay between two markets, being found even in a single market. The only condition for producing such behavior is the inclusion of speculative traders who follow the trend (or the anti-trend) of prices. In fact, the tax does not seem to influence markets composed simply of random and fundamentalist traders significantly. These findings seem to contradict the results reported by Westerhoff and Dieci, who found with their model that when a transaction tax is imposed in one market, speculators leave this market, which thus becomes less volatile. However, this contradiction is only apparent. Westerhoff and Dieci’s model is much more sophisticated than ours in accounting for informed speculators switching between markets, while in our model the attractivity function is operated by near zero intelligence traders. We found essentially that in our realistic yet simple market model, levying a transaction tax yields a reduction in trading volume and an increase in volatility. A more sophisticated model that better accounts for risk aversion and for the fact that speculators actually leave the taxed market could substantially modify trader composition in the markets, yielding different results.