The Sectoral Effects of Value-Added Tax: Evidence from UAE Stock Markets

Anagha Ann Gopakumar, Avneet Kaur, Vikash Ramiah and Krishna Reddy ()
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Anagha Ann Gopakumar: Faculty of Business, University of Wollongong in Dubai, Dubai P.O Box 20183, United Arab Emirates
Avneet Kaur: Faculty of Business, University of Wollongong in Dubai, Dubai P.O Box 20183, United Arab Emirates
Vikash Ramiah: Faculty of Business, University of Wollongong in Dubai, Dubai P.O Box 20183, United Arab Emirates
Krishna Reddy: Postgraduate Business, Faculty of Business, Design, and Services Industries, Toi Ohomai Institute of Technology/Te Poking, Rotorua 3046, New Zealand

JRFM, 2022, vol. 15, issue 10, 1-16

Abstract: This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodology over the period 2015 to 2018, a sector-wise assessment of the value constructiveness or destructiveness of these announcements is conducted. In addition, an estimation of sector-wise changes in systematic risk following these announcements is provided. Significant sectoral differences in abnormal returns are observed with industries such as insurance and retail showing higher sensitivity. Certain announcements are identified as exerting more impact than others. The results document the outcome of the implementation of VAT and provide guidance to other countries in the Gulf region that plan to introduce VAT.

Keywords: value-added tax; abnormal returns; systematic risk (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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