2012 Fiscal Year Final Research Report
Research on financial transaction taxes
| Project/Area Number |
22530321
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Toyo University |
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Principal Investigator |
ONO Hiroyuki 東洋大学, 経済学部国際経済学科, 教授 (50285459)
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| Co-Investigator(Kenkyū-buntansha) |
HAYASHIDA Minoru 北九州市立大学, 経済学部, 教授 (20198873)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 流通税 / ボラティリティ / GARCH / EGARCH / HAR / AFRIMA |
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| Research Abstract |
A question on whether a levy of financial transaction (turnover) taxes would enhance the market stability, is empirically investigated, using GARCH-type models, HAR models, and ARFIMA models with high frequency data, in view of recent advancements in financial economics. The obtained results are not in line with the arguments put forward by the proponents of the taxes, but are rather indicative that they would increase the price volatility, thereby hurting the stability of the market.
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