Security transaction taxes and financial volatility: Athens stock exchange
AbstractThe study examines the effects of security transaction tax on volatility. It focuses on whether the tax has a greater effect on highly traded stocks since it penalizes entering and exiting the market and on whether it depends on the state of the stock market. The results highlight the differential effect of transaction tax on volatility during bear and bull periods casting doubts on the findings of previous studies, which did not allow for that. The effects are stronger for highly traded stocks and during bull periods but volatility increases instead of falling as intended by the proponents of transaction taxes.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 18 ()
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- Gunther Capelle-Blancard & Olena Havrylchyk, 2013.
"The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility,"
Documents de travail du Centre d'Economie de la Sorbonne
13085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris West - Nanterre la Défense, EconomiX.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
- Anna Pomeranets & Daniel G. Weaver, 2011. "Security Transaction Taxes and Market Quality," Working Papers 11-26, Bank of Canada.
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