The effects of the stock transaction tax on the stock market- Experiences from Asian countries
Journal
Pacific-Basin Finance Journal
Journal Issue
6
Pages
347-364
Date Issued
1998-07
Author(s)
Abstract
This paper examines the economic effect of the stock transaction tax, using 14 tax changes that occurred in Hong Kong, Japan, Korea, and Taiwan during the period 1975-1994. On average, an increase in tax rate reduces the stock price but has no significant effect on market volatility and market turnover. To separate noise trading from other components, I also examine the changes in idiosyncratic volatility and idiosyncratic turnover for size portfolios. For the small firm portfolio, the idiosyncratic volatility is significantly lower during the high-tax period, but not turnover. Overall, the evidence is not consistent with the hypothesis that stock transaction tax can reduce noise trading and volatility. © 1998 Elsevier Science B.V. All rights reserved.
SDGs
Type
journal article