Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154382
Authors: 
Cappelletti, Giuseppe
Guazzarotti, Giovanni
Tommasino, Pietro
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1949
Abstract: 
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.
Subjects: 
market liquidity
market volatility
securities transaction tax
JEL: 
G14
G18
H24
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2197-8
Document Type: 
Working Paper

Files in This Item:
File
Size
419.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.