차익거래시 증권거래세가 시장효율성, 변동성 및 유동성에 미치는 영향 = Effect of Transaction Tax on Market Efficiency, Volatility and Liquidity

다국어 초록 (Multilingual Abstract)

Transaction taxes were introduced to reduce abnormal stock price movements and to reduce excessive volatility by suppressing noise traders' activities in the stock market. However, prior researches report that transaction taxes have unexpected side effects.
This study analyzed the impact of transaction taxes on market efficiency and others in the case of Korea Post, which was exempted from securities transaction tax imposed during arbitrage, which is part of transaction tax.
The main results are as follows. First, the transaction tax exemption improved market efficiency, but only showed significant results when the futures price was higher than the spot price. Second, the transaction tax exemption improved market stability by reducing the volatility of individual stocks and futures. Third, the exemption of transaction taxes contributed to the revitalization of the market by expanding liquidity in the spot and futures markets.
This study is meaningful in that it included the KOSDAQ150 index and stock futures and analyzed by market situation between spot and futures.

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