Tax-Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Study

Mark D Griffiths and Robert W White

Journal of Finance, 1993, vol. 48, issue 2, 575-98

Abstract: This study tests the tax-induced trading hypothesis as an explanation of the turn-of-the-year anomaly using Canadian and U.S. intraday data. Since the Canadian tax year-end precedes the calendar year-end by five business days, tax effects may be isolated. The authors find the anomaly is related to the degree of seller- and buyer-initiated trading and depends upon the incidence of the taxation year-end. Seller-initiated transactions (at bid prices) dominate until the tax year-end after which buyer-initiated trades (at ask prices) dominate. The anomaly is a function of bid-ask prices. Copyright 1993 by American Finance Association.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819930 ... O%3B2-A&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:48:y:1993:i:2:p:575-98

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().