|Title:||The effects of the stock transaction tax on the stock market - Experiences from Asian markets||Authors:||SHING-YANG HU||Keywords:||Asian markets | Stock market | Stock transaction tax||Issue Date:||1-Jan-1998||Journal Volume:||6||Journal Issue:||3-4||Start page/Pages:||347||Source:||Pacific Basin Finance Journal||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.
|Appears in Collections:||財務金融學系|
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