Speculative Investors and Transactions Tax: Evidence from the Housing Market

51 Pages Posted: 19 Sep 2011 Last revised: 22 Apr 2015

See all articles by Yuming Fu

Yuming Fu

National University of Singapore

Wenlan Qian

National University of Singapore - NUS Business School

Bernard Yin Yeung

National University of Singapore - Business School

Date Written: March 15, 2015

Abstract

This paper examines the impact of a policy change in transaction tax on speculators. The policy intervention took place in Singapore’ housing market; it effectively raised the transaction cost in a segment favored by short-term speculators. Relative to the unaffected control sample, we find that the rise in transaction cost substantially reduced speculative trading in the treatment segment, significantly raised its price volatility and reduced price informativeness. We further show that the results are likely due to a relatively greater withdrawal by informed speculators than by destabilizing speculators following the transaction cost increase.

Keywords: transaction tax, volatility, speculators, informed traders, noise traders, housing market

Suggested Citation

Fu, Yuming and Qian, Wenlan and Yeung, Bernard Yin, Speculative Investors and Transactions Tax: Evidence from the Housing Market (March 15, 2015). Available at SSRN: https://ssrn.com/abstract=1930125 or http://dx.doi.org/10.2139/ssrn.1930125

Yuming Fu

National University of Singapore ( email )

4 Architecture Drive
Department of Real Estate
Singapore, 117566
Singapore
(65) 6874 7100 (Phone)
(65) 6774 8684 (Fax)

HOME PAGE: http://profile.nus.edu.sg/sde/rstfuym

Wenlan Qian (Contact Author)

National University of Singapore - NUS Business School ( email )

15 Kent Ridge Drive
Singapore 117592, 119245
Singapore
(65) 65163015 (Phone)

HOME PAGE: http://sites.google.com/site/wenlanqian/

Bernard Yin Yeung

National University of Singapore - Business School ( email )

15 Kent Ridge Drive
BIZ 1 Level 6
Singapore, 119245
Singapore
65 6516 3075 (Phone)
65 6779 1365 (Fax)

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