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Non-Value-Added Tax to improve market fairness and quality

Financial Innovation 2022年第1期8卷 523-552页

作者： Iryna Veryzhenko Arthur Jonath Etienne Harb Conservatoire National des Arts et Métiers ParisFrance Profit and Entropy Portola ValleyCAUSA ESSCA School of Management AngersFrance

The promotion of both market fairness and efficiency has long been a goal of securities market regulators *** digital disruption and abusive trading behaviors,such as the GameStop mania,prompt regulatory *** is unclear how this“democratization”of trading power affects market fairness as economies cope with pandemic-driven shifts in basic *** speculation and market manipulation undermine the quality of financial markets in the sense that they cause volatil-ity and increase the pain of bubble and crash ***,they weaken public confidence in financial markets to fulfill their roles in proper capital allocation to irrigate the real economy and generate value for *** previous studies have mostly focused on market efficiency,our study proposes a tool to improve market fairness,even under periods of *** encourage value generation and improve market quality,we advance a graduated Non-Value-Added Tax that we implement in an agent-based model that can realistically capture the properties of real-world financial markets.A profitable transaction is taxed at a higher rate if it does not enhance the efficiency measured by deviation from *** an agent locks in profit not supported by fundamentals but driven by trend-following strategies,the generated profit is taxed at various rates under the Non-Value-Added Tax *** existing financial transaction taxes,the non-value-added tax is levied on profit rather than on price or *** show that the proposed tax encourages profitable trades that add value to the market and discourages valueless *** significantly curtails volatility and prevents the occurrence of extreme market events,such as bubbles and crashes.

关键词： Market fairness Financial transaction tax Non-Value-Added Tax High-frequency trading Bubbles and crashes Efficiency

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