SHING-YANG HU2019-07-232019-07-231998-01-010927538Xhttps://scholars.lib.ntu.edu.tw/handle/123456789/414570This 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.Asian markets | Stock market | Stock transaction tax[SDGs]SDG17journal article10.1016/S0927-538X(98)00017-12-s2.0-0011020737https://api.elsevier.com/content/abstract/scopus_id/0011020737