Tax‐Induced Trading and the Turn‐of‐the‐Year Anomaly: An Intraday Study
利用加拿大和美国日内数据，检验税收引发的交易假说能否解释年末异常，发现异常与买卖方向交易及税收年度截止日有关。
ABSTRACT This study tests the tax‐induced trading hypothesis as an explanation of the turn‐of‐the‐year anomaly using Canadian and U.S. intraday data. Since the Canadian tax year‐end precedes the calendar year‐end by five business days, tax effects may be isolated. We find the anomaly is related to the degree of seller‐and buyer‐initiated trading and depends upon the incidence of the taxation year‐end. Seller‐initiated transactions (at bid prices) dominate until the tax year‐end after which buyer‐initiated trades (at ask prices) dominate. The anomaly is a function of bid‐ask prices.