تاثیر مالیات بر معاملات مالی روی حقایق تلطیف شده از قیمت بازده؛ شواهد از آزمایشگاه

As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.

In the wake of the financial crisis of 2007–2009 and the European debt crisis since 2010 the debate over the introduction of financial transaction taxes (FTT, a Tobin tax being the most prominent example for foreign exchange markets) got new impulses and new supporters. Especially in the EU, where chancellor Angela Merkel of Germany is the most outspoken advocate, the implementation of such a tax has become far from unthinkable. Whenever such major changes to markets are seriously considered it seems prudent to explore – as far as possible – consequences this could cause in affected markets. In this paper we do this by means of laboratory experiments. By exposing human traders to markets that mimic the key elements of the markets under consideration, we try to capture the main consequences that could result from this tax regime change. The idea of a FTT has gained popularity as an instrument to reduce speculation and stabilize financial markets especially since the seminal work of Tobin (1978). Its originally intended effects include a decrease in volatility and an increase in market efficiency, as speculators (noise traders) are forced to reduce trading frequency. Scientific research on the impact of FTTs has mainly started in the 1990s with contributions by e.g. Stiglitz (1989), Summers and Summers (1989), Schwert and Seguin (1993), Jones and Seguin (1997), Subrahmanyam (1998), Dow and Rahi (2000), and Baltagi et al. (2006). There is broad consensus in the literature on some issues such as negative effects of a FTT on trading volume and market shares of taxed markets (compared to untaxed ones). Empirically, the decrease in trading volume is usually quite substantial when a financial transaction tax is introduced.1 Other issues, notably price volatility and market efficiency are still controversially and hotly debated. In general, studies which use agent-based models with either boundedly rational agents (i.e., chartist/fundamentalist approach) or with zero-intelligence traders mainly report lower price volatility as a reaction to the imposition of a FTT (e.g., Westerhoff, 2003, Ehrenstein et al., 2005 and Westerhoff and Dieci, 2006). Instead, empirical studies either look at historical examples of FTTs or indirectly measure FTTs as increased transaction costs. They mainly report no or a positive relationship of transaction costs and price volatility when different types of FTTs were imposed (e.g., Aliber et al., 2003 and Hau, 2006). The effects of FTTs have also been investigated in the laboratory. Hanke et al. (2010) report increased volatility in small unilaterally taxed markets when tax havens exist. Due to a shift in liquidity, volatility decreases in the tax haven at the same time. Kirchler et al. (2012) investigate the impact of market microstructure on the effects of FTTs.2 Similarly to Hanke et al. (2010) they observe that volatility increases in unilaterally taxed markets without market makers, whereas it decreases when market makers provide permanent liquidity in unilaterally taxed markets. Importantly, both experimental studies report that an encompassing Tobin tax has no impact on volatility and market efficiency compared to a regime with no tax. Recently, a comprehensive survey on the impact and feasibility of the Tobin tax and FTTs has been published by McCulloch and Pacillo (2011). They review related scientific contributions since the 1970s and conclude that a Tobin tax is feasible and would generate substantial revenues without causing major distortions to market efficiency and price volatility. The latter is unlikely to decrease and could even increase. In this paper we extend the body of literature by focusing on another implication of a FTT which has not been investigated so far—the impact of a FTT on so called “stylized facts” of price returns. As mentioned, the introduction of a FTT has effects on market liquidity, trading volume and price returns. In financial markets the distribution of the latter usually displays excess kurtosis (“fat tails” or leptokurtosis) and the time series is heteroscedastic (“volatility clustering”). These stylized facts are universal to financial markets and have been found in laboratory experiments as well.3 As the implementation of a FTT has an impact on price returns, it is possible that stylized facts are affected as well. To shed light on this issue we explore changes in leptokurtosis and volatility clustering in laboratory markets with different tax regimes. In each session two double auction markets for the same currency pair run simultaneously and a FTT is introduced in none, one, or both markets (i.e. no FTT on both markets; unilateral FTT, the other market being the tax haven; encompassing FTT). By using two simultaneously running markets we account for potential tax avoidance which allows us to analyze the impact of a FTT in unilaterally, and in comprehensively taxed markets, as well as in tax havens. Furthermore, we use two different microstructures that dominate real markets: (i) exchanges where market makers ensure permanent liquidity and (ii) over-the-counter markets where trading happens between individual parties without market makers. Some segments at real-world exchanges like at the CME and the LIFFE are examples of the former, while electronic trading platforms for currencies like EBS and Reuters3000 as well as the international money markets are examples of the latter. The choice of this specific setting is inspired by Pellizzari and Westerhoff (2009) which point out the high importance of market microstructure when a FTT is levied. If a FTT is imposed, they report a reduction in volatility in dealership markets where market makers provide permanent liquidity compared to a double-auction setting without market makers. Consequently, two treatments, Treatment “over the counter” (OTCOTC) and Treatment “trading requirement” (TRTR), use the latter and Treatment “market maker” (MMMM) is applied with the former market microstructure. There are no specific limitations or requirements to trade in Treatment OTCOTC, where each subject can post limit and market orders. With all other things being equal to Treatment OTCOTC half of the subjects have a trading requirement in Treatment TRTR, i.e. a minimum amount of trading they have to carry out in each period to avoid a penalty. Instead, in Treatment MMMM computerized market makers provide a constant liquidity flow, while human subjects can only post market orders, i.e. accept limit orders posted by market makers. We find leptokurtosis of the distribution of returns under each tax regime. The following results hold for each treatment: (i) fat tails are largest and significantly larger in unilaterally taxed markets compared to most other tax regimes, while they are smallest in tax havens. Furthermore, (ii) we report clustered volatility under most tax regimes, most prominently in the tax havens. Instead, (iii) the autocorrelation function (ACF) of normalized absolute returns decays very quickly towards zero in unilaterally taxed markets, i.e. there are no volatility clusters in this tax regime. This finding is caused by the low trading frequency in unilaterally taxed markets since intervals of hectic trading, which are the main volatility clusters, almost never occur. Finally, (iv) we observe hardly any changes in leptokurtosis and volatility clustering when an encompassing FTT is applied in comparison to both markets being untaxed. The importance of investigating price return distributions under different tax regimes is straightforward. For instance, the pricing of options and other structured products depends on the underlying distribution of returns. Fatter tails under a FTT mean more extreme tail events, e.g. large drops in asset prices. With extreme events becoming more likely options, similar derivatives and structured products that “insure” tail events, could become more expensive. Thus, we urge that any nation should tread carefully when contemplating the unilateral introduction of a FTT, as the costs for anyone trying to insure (with options and similar derivatives) would likely go up. A universal (encompassing) implementation of a FTT, however, would have hardly any negative effects on the fat tail and the volatility clustering property compared to the status quo. The latter implies that international coordination for implementing FTTs is a necessary condition to avoid distorting effects for the distribution of returns. The remainder of the paper is structured as follows. Section 2 provides details on market design, experimental treatments, and experimental implementation. Section 3 outlines the econometric method. Section 4 presents the results from the experiments and Section 5 summarizes and concludes.

In this paper we have presented data from laboratory experiments to study the impact of a financial transaction tax (FTT) on stylized facts of price returns. In particular, a FTT was introduced in none, one or both of two simultaneously running double auction markets for the same currency pair. We set up three treatments to get a broader picture of differences between tax regimes in different market microstructures with different parameters. We found that the distribution of normalized absolute returns is fat-tailed under each tax regime. The following results hold for each treatment separately: (i) fat tails were largest and significantly bigger in unilaterally taxed markets compared to most other tax regimes. As usually observed in real-world markets we also found clustered volatility in untaxed markets and in markets with an encompassing FTT, while the clusters disappeared in unilaterally taxed markets. In particular, (ii) tax havens showed the strongest volatility clusters since the autocorrelation function (ACF) was highest at each lag compared to the other tax regimes. In contrast, (iii) the ACF of normalized absolute returns decayed very quickly towards zero in unilaterally taxed markets in each treatment. This finding can be attributed to the low trading frequency in unilaterally taxed markets, since times of hectic trading, which are the main volatility clusters in our markets, almost never occur. Notably, (iv) we observed hardly any changes in both variables when an encompassing FTT was applied compared to both markets being untaxed. To address the question whether human behavior or the market microstructure (or a combination of both) causes these differences in stylized facts is difficult with this setting (see Bottazzi et al., 2006 and Anufriev and Panchenko, 2009 for related studies). However, we observe very similar dynamics in stylized facts conditional on tax regime across different market microstructures. Therefore we indirectly infer that human behavior mainly drives the results, as they react similarly to tax regimes irrespective of the market microstructure applied. The results presented here are not only relevant for scientists, interested in specific statistical properties of returns. Especially investors, regulators, and politicians should also care: Fatter tails under a FTT mean more extreme tail events, e.g. large drops in asset prices. A measure for the fatness of tails should thus be a key variable in risk management and changes of this variable should be taken into account by risk managers and regulators. Similarly, the pricing of options and structured products depends on the underlying distribution of returns. With extreme events becoming more likely options, similar derivatives and structured products that “insure” tail events, become more expensive. Volatility clustering, though sometimes considered “bad” when right in the middle of such a cluster, allows to predict future volatility to a certain (small) degree. The lack of volatility clusters – as evident in our unilaterally taxed markets – thus means that financial professionals lose the little forecasting power they had with respect to volatility. Thus, we urge that any nation should tread carefully when contemplating the unilateral introduction of a FTT, as the costs for anyone trying to insure (with options and similar derivatives) would likely go up, while predictability of future volatility, small as it was, would decrease. Instead, a universal (encompassing) implementation of a FTT would have hardly any negative effects on the fat tail and the volatility clustering property compared to the current status quo. The latter implies that international coordination for implementing FTTs is a necessary condition to avoid distorting effects for the distribution of returns.