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