The stock market effects of a securities transaction tax: quasi-experimental evidence from Italy

Arbeitspapier

We study the effects on the stock market of a securities transaction tax (STT). In particular, we focus on the recent introduction of a STT in Italy. Indeed, a peculiarity of the Italian STT is that it only concerns stocks of corporations with a market capitalization above 500 million euros. We exploit this feature via a differences-in-differences approach (comparing taxed and non-taxed stocks both before and after the introduction of the new tax). We find that the new tax widened the bid-ask spread and increased volatility, while it left transaction volumes and returns substantially unaffected. Results are broadly similar using a regression discontinuity design, in which we confront the performance of stocks just above the threshold with those just below.

Angaben zum Objekt

• ISBN: 978-92-899-2197-8
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1949

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation ; Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
• Thema: market liquidity ; market volatility ; securities transaction tax

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cappelletti, Giuseppe ; Guazzarotti, Giovanni ; Tommasino, Pietro
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2016

Weitere Informationen

• DOI: doi:10.2866/173792
• Handle: http://hdl.handle.net/10419/154382
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ