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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/159

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contributor.authorSwan, Peter L.-
contributor.authorWesterholm, Joakim-
description.abstractDrastic changes in transaction tax on securities trading in both Sweden and Finland give us a unique opportunity to study the effects of a purely exogenous change in transaction costs. The impact on turnover can be predicted accurately using a simple model. Lower transaction costs cause significant increases in turnover with an elasticity of approximately –1. We apply an asset-pricing model that is able to predict asset price changes. The transaction cost elasticity in asset prices is –0.20 for Sweden and –0.21 for Finland. Volatility in securities prices is significantly reduced when transaction costs decrease. We find that the security transaction tax changes are crucial for the increase in activity and prices that are observed on both marketsen
format.extent352948 bytes-
relation.ispartofseriesQuaderni CEIS; 144-
subjectsecurity transaction taxen
subjecttransaction costen
subjecttransaction cost elasticityen
subject.classificationSECS-P/01; Economia politicaen
titleThe Impact of transaction costs on turnover and asset prices: the cases of Sweden’s and Finland’s security transaction tax reductionsen
subject.jelG12; Asset pricingen
subject.jelG28; Government policy and regulationen
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