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

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...

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Detalles Bibliográficos
Autores principales: Galvani, Valentina, Ackman, Matthew
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2021
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7970327/
https://www.ncbi.nlm.nih.gov/pubmed/33748483
http://dx.doi.org/10.1016/j.heliyon.2021.e06416
Descripción
Sumario: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.

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