Abstract
We investigate the distribution of relative returns (RR) among agents who possess varying levels of information in an artificial stock market (ASM). We demonstrate the existence of the J-curve in this market. In contrast to previous studies, the agents in possession of the least information are statistically not different net losers. Moreover, we find that the J-curve is not valid if the relative number of random traders is high. We introduce Tobin-like transaction taxes and show that they destroy liquidity and harm market efficiency. With high taxes, the inequality between agents possessing varying levels of information decreases. However, tax levels dealt with in recent studies influence the market parameters and the J-curve only marginally.
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Notes
- 1.
- 2.
We thank the anonymous referee for pointing this out. This is true if the random trader does not have any influence on the market price, or if he has an equal probability to beat the market and to be beaten by the market.
- 3.
The results are based on the treatment of the real stock market in Sweden.
- 4.
According to their results, the volatility is reduced through the introduction of a higher tax level.
- 5.
They found that tax increases volatility and decreases trading volume.
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Kalimullina, L., Schöbel, R. (2015). The J-Curve and Transaction Taxes: Insights from an Artificial Stock Market. In: Amblard, F., Miguel, F., Blanchet, A., Gaudou, B. (eds) Advances in Artificial Economics. Lecture Notes in Economics and Mathematical Systems, vol 676. Springer, Cham. https://doi.org/10.1007/978-3-319-09578-3_8
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