Securities Transaction Taxes and Market Quality
研究了1932至1981年间纽约州证券交易税的9次调整和联邦交易税的3次调整，发现增税会提高个股波动性、扩大买卖价差、增加价格冲击并降低成交量，总体上损害市场质量。
We study changes in market quality associated with 9 modifications to the New York State securities transaction tax (STT) between 1932 and 1981 and 3 changes to the federal STT between 1932 and 1966. We find that when there is an increase in the level of an STT, individual stock volatility increases, bid–ask spreads widen, price impacts are greater, and volume decreases. We examine the propensity of traders to switch trading locations to avoid the tax and find mixed evidence that they will change locations. Overall, our findings support the notion that the imposition of or increases in an STT harm market quality.