EconPapers    
Economics at your fingertips  
 

Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax

Michał Zator

Bank i Kredyt, 2014, vol. 45, issue 4, 349-372

Abstract: We present the concept of financial transaction tax (Tobin tax, FTT) and describe its potential consequences. We analyse the relation between transaction costs and volatility of prices by presenting empirical evidence from Warsaw Stock Exchange and exploiting the natural experiment of varying tick size. A higher tick size (and thus increased transaction costs) seems to be connected to higher volatility. Since increased transaction costs may be a proxy for the effect of FTT, our findings may be interpreted as an evidence against the stabilizing role of the tax.

Keywords: transaction costs; volatility; Tobin tax; financial transaction tax (search for similar items in EconPapers)
JEL-codes: D23 C33 G10 H30 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.bankikredyt.nbp.pl/content/2014/04/bik_04_2014_03_art.pdf (application/pdf)

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:nbp:nbpbik:v:45:y:2014:i:4:p:349-372

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Michał Wieloch ().

 
Page updated 2020-04-28
Handle: RePEc:nbp:nbpbik:v:45:y:2014:i:4:p:349-372