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… 

Security transaction taxes and financial volatility: Athens stock exchange

The study examines the effects of security transaction tax on volatility. It focuses on whether the tax has a greater effect on highly traded stocks since it penalizes entering and exiting the market

Impact of the Securities Transaction Tax on Stock Markets

This article investigates the effects of the securities transaction tax (STT) on market trading volume and return volatility using Chinese data. We found strong evidence to support a negative

The impact of Securities Transaction Tax on market quality: Evidence from France and Italy

This paper analyzes two recent securities transaction tax (STT) implementations in France and Italy in order to identify the effects of STT on market quality. The effects are observed on panel data

Evolution of security transaction tax in India

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global

Securities Transaction Taxes and Market Quality

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and

Transaction Costs and Volatility on Warsaw Stock Exchange : Implications for Financial Transaction Tax

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

Securities Transactions Taxes and Financial Crises

This paper assesses the impact that a widely-based Securities Transaction Tax (STT) could have on the likelihood of systemic financial crises. We apply the methodology developed by Demirguc-Kunt and

Securities Transaction Taxes and Financial Markets

We consider the impact of transaction taxes on financial markets in the context of four questions. How important is trading? What causes price volatility? How are prices formed? How valuable is the

The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility ◊

In this paper, we assess the impact of the securi ties transaction tax (STT) introduced in France in 2012 on market liquidity and volatilit y. To identify causality, we rely on a distinctive design



Transaction taxes and the behavior of the Swedish stock market

Taxing transactions in futures markets: Objectives and effects

In the last few years various legislative proposals have been made to impose a transaction or excise tax on securities and derivative market transactions. Although there have been considerable

U.K. Asset Price Volatility Over the Last 50 Years

The paper analyses the volatility of UK equity, bond and treasury bill returns and the sterling/dollar exchange rate since 1945. It finds that the volatility of all these assets is on a declining

The Internationalization of Equity Markets

This introduction to a forthcoming NBER volume on 'The Internationalization of Equity Markets' argues that the existing finance literature has in some respects not kept pace with world trends. Most

International Experiences with Securities Transaction Taxes

This paper studies the international experience with securities transaction taxes (STTs), using the Swedish and British systems as case studies. We argue that STTs are best thought of as taxes on

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal

Initial margin requirements and stock returns volatility: Another look

This article investigates the relationship between initial margin requirements and stock return volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an empirical

International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market

Policymakers in emerging markets are increasingly concerned about the consequences for the domestic equity market when companies list stock abroad. We show that the effects of cross-listing depend on

Noise traders, excess volatility, and a securities transactions tax

Proponents of a securities transactions tax have suggested that such a tax may reduce stock return volatility. The argument is that, to the extent that short-term speculative trading volume is the