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Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience

  • Shinhua Liu

    ()

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File URL: http://hdl.handle.net/10.1007/s10693-007-0018-z
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 32 (2007)
Issue (Month): 3 (December)
Pages: 161-176

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Handle: RePEc:kap:jfsres:v:32:y:2007:i:3:p:161-176
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  1. Takatoshi Ito & Tokuo Iwaisako, 1995. "Explaining Asset Bubbles in Japan," NBER Working Papers 5358, National Bureau of Economic Research, Inc.
  2. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
  3. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  4. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  5. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  6. Neumark, David & Tinsley, P A & Tosini, Suzanne, 1991. " After-Hours Stock Prices and Post-Crash Hangovers," Journal of Finance, American Finance Association, vol. 46(1), pages 159-78, March.
  7. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
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