The Effects of Stamp Duty on the Level and Volatility of Equity Prices

  title={The Effects of Stamp Duty on the Level and Volatility of Equity Prices},
  author={Victoria Saporta and Kamhon Kan},
  journal={European Finance},
This paper investigates the effects of stamp duty - the UK securities transaction tax - on the level and volatility of equity prices. The authors examine the response of the equity market to announcements of changes in stamp duty rates and compare the prices of two assets which are similar in all respects apart from their treatment for stamp duty purposes: American Depositary Receipts (ADRs) and their London Stock Exchange-traded stocks. The findings are consistent with the hypothesis that… 

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