Transaction Taxes and Stock Market Volatility

Ragnar Lindgren
Additional contact information
Ragnar Lindgren: Dept. of Finance, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

No 25, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The effect of a securities transaction tax on price volatility is estimated on a sample of 11 years of quarterly data from 14 stock markets in different countries. No effect, positive or negative, is found if the volatility is assumed to be monnotonously increasing or decreasing in the tax rate. If the sample is divided into two clusters of equal size, one with tax rates from zero to 0.34 per cent of the transaction value and the second with tax rates from 0.50 per cent to 2 per cent (1 per cent on the buyer and 1 per cent on the seller), evidence is found that tax rates avovce 0.5 per cent increase volatility whereas low tax rates have no significant effect on volatility.

Keywords: Taxes; stock markets; volatility (search for similar items in EconPapers)
JEL-codes: G10 H30 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1994-10
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hhs:hastef:0025

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().