We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the parameter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation.

中文翻译：

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金融交易税和金融市场的信息效率：结构性估计

我们开发了一种新方法来估计金融交易税 (FTT) 对金融市场结果的影响。在我们的顺序交易模型中，存在价格弹性噪声和知情交易者。我们通过 2017 年 60 只纽约证券交易所股票样本的最大似然估计模型。我们量化了在给定参数估计的情况下引入 FTT 的影响。FTT增加了知情交易的比例，改善了信息聚合，但降低了交易量和福利。然而，对于一些流动性较差的股票，FTT 会阻止私人信息聚合。