Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy

Heliyon

Matthew Ackman¹  Valentina Galvani² 

[1] Corresponding author.;Department of Economics, University of Alberta, Canada;

关键词: Liquidity;    Financial Transaction Tax;    Amihud (2002) liquidity measure;    Italian equity market;    Economics;    Finance;   

DOI  :  

来源: DOAJ

【 摘 要 】

This study investigates whether the liquidity of medium-sized and large caps has been differently affected by the Italian Financial Transaction Tax, among the firms subject to the tax. We evaluate changes in mean and median bid-ask spreads and Amihud (2002) liquidity for aggregate market indexes and at the firm level. After the implementation of the tax, spreads have widened more for medium- than for large-caps, whereas the Amihud liquidity measure remained unaltered for the vast majority of the firms.

【 授权许可】

Unknown