caa a22 4500 46789647X CHVBK 20180406152805.0 cr unu---uuuuu 170328e20060601xx s 000 0 eng 10.1007/s00181-005-0022-9 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0022-9 Transaction tax and stock market behavior: evidence from an emerging market [Elektronische Daten] [Badi Baltagi, Dong Li, Qi Li] This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets' volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets. Springer-Verlag, 2006 Baltagi Badi Department of Economics and Center for Policy Research, Syracuse University, 13244-1020, Syracuse, NY, USA aut Li Dong Department of Economics, Kansas State University, 66506-4001, Manhattan, KS, USA aut Li Qi Department of Economics, Texas A&M University, 77843-4228, College Station, TX, USA aut Empirical Economics Physica-Verlag 31/2(2006-06-01), 393-408 0377-7332 31:2<393 2006 31 181 https://doi.org/10.1007/s00181-005-0022-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0022-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Baltagi Badi Department of Economics and Center for Policy Research, Syracuse University, 13244-1020, Syracuse, NY, USA aut NATIONALLICENCE 700 1- Li Dong Department of Economics, Kansas State University, 66506-4001, Manhattan, KS, USA aut NATIONALLICENCE 700 1- Li Qi Department of Economics, Texas A&M University, 77843-4228, College Station, TX, USA aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 31/2(2006-06-01), 393-408 0377-7332 31:2<393 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer