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Transaction costs and informational cascades in financial markets


Cipriani, Marco; Guarino, Antonio


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-277443

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Abstract "We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We implement a financial market with sequential trading and transaction costs in the laboratory. According to theory, eventually all traders neglect their private information and abstain from trading (i.e., a no-trade informational cascade occurs). We find that, in the experiment, informational no-trade cascades occur when theory predicts they should (i.e., when the trade imbalance is sufficiently high). At the same time, the proportion of subjects irrationally trading against their private information is smaller than in a financial market without transaction costs. As a result, the overall efficiency of the market is not significantly affected by the presence of transaction costs." [author's abstract]
Klassifikation Volkswirtschaftstheorie
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 581-592
Zeitschriftentitel Journal of Economic Behavior & Organization, 68 (2008) 3-4
DOI http://dx.doi.org/10.1016/j.jebo.2008.08.001
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)