探讨高频交易和非高频交易环境下交易税对市场质量的动态影响：基于主体的建模方法

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI:10.1016/j.najef.2024.102360

Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li

{"title":"探讨高频交易和非高频交易环境下交易税对市场质量的动态影响：基于主体的建模方法","authors":"Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li","doi":"10.1016/j.najef.2024.102360","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102360"},"PeriodicalIF":3.8000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach\",\"authors\":\"Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li\",\"doi\":\"10.1016/j.najef.2024.102360\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"76 \",\"pages\":\"Article 102360\"},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940824002857\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824002857","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了交易税、高频交易和市场质量之间的关系。我们使用基于代理的建模（ABM）方法来动态评估交易税对高频交易和非高频交易市场质量的影响。初步测试表明，高频交易对市场质量产生负面影响，而在两种情况下，征收适度的交易税率可能会改善市场质量。然而，如果交易税率进一步提高，市场质量可能会受到损害。在没有高频交易参与的市场中，高税率的不利影响更为明显。研究结果表明，交易税对市场质量的影响随投资者构成和税率的不同而不同，这为全球股票市场交易税政策的多样性提供了见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

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.