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
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author Galvani, Valentina
Ackman, Matthew
author_facet Galvani, Valentina
Ackman, Matthew
author_sort Galvani, Valentina
collection PubMed
description 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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spelling pubmed-79703272021-03-19 Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy() Galvani, Valentina Ackman, Matthew Heliyon Research Article 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. Elsevier 2021-03-12 /pmc/articles/PMC7970327/ /pubmed/33748483 http://dx.doi.org/10.1016/j.heliyon.2021.e06416 Text en © 2021 The Authors http://creativecommons.org/licenses/by-nc-nd/4.0/ This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
spellingShingle Research Article
Galvani, Valentina
Ackman, Matthew
Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title_full Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title_fullStr Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title_full_unstemmed Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title_short Financial transaction tax, liquidity, and informational efficiency: Evidence from Italy()
title_sort financial transaction tax, liquidity, and informational efficiency: evidence from italy()
topic Research Article
url 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
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