Security Transaction Taxes and Financial Volatility: Athens Stock Exchange

33 Pages Posted: 2 Jun 2006

See all articles by Antonis A. Aristidou

Antonis A. Aristidou

City University London - Sir John Cass Business School

Kate Phylaktis

City University London - Sir John Cass Business School

Abstract

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 penalises entering and exiting the market, and on whether it depends on the state of the stock market. The results highlight the differential effect of transaction tax on volatility during bear and bull periods casting doubts on the findings of previous studies, which did not allow for that. The effects are stronger for highly traded stocks and during bull periods but volatility increases instead of falling as intended by the proponents of transaction taxes.

Keywords: Security Transaction Taxes, Financial Market Volatility, Athens Stock Exchange

JEL Classification: G1, G14, G18

Suggested Citation

Aristidou, Antonis A. and Phylaktis, Kate, Security Transaction Taxes and Financial Volatility: Athens Stock Exchange. Cass Business School Research Paper . Available at SSRN: https://ssrn.com/abstract=905797 or http://dx.doi.org/10.2139/ssrn.905797

Antonis A. Aristidou

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Register to save articles to
your library

Register

Paper statistics

Downloads
209
Abstract Views
1,520
rank
146,706
PlumX Metrics