Security Transaction Taxes and Financial Volatility: Athens Stock Exchange
33 Pages Posted: 2 Jun 2006
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: Suggested Citation