Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li
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引用次数: 0
Abstract
This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests indicate that high-frequency trading negatively affects market quality, whereas imposing a moderate transaction tax rate may improve market quality in both scenarios. However, when the transaction tax rate further increases, market quality may be impaired. The adverse effect of a higher tax rate is more pronounced in markets without HFT participation. The findings reveal that the impact of transaction taxes on market quality varies with investor composition and tax rates, offering insights into the diversity of transaction tax policies across global stock markets.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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