https://scholars.lib.ntu.edu.tw/handle/123456789/414570
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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414570 | ISSN: | 0927538X | DOI: | https://api.elsevier.com/content/abstract/scopus_id/0011020737 10.1016/S0927-538X(98)00017-1 |
Appears in Collections: | 財務金融學系 |
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