Abstract
We tested how ex-day trading volume is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.25¢ price increments (June 1997). We found excess trading volume around the ex-days in the pre- and post-event periods for both high- and low-yield groups. The abnormal volume falls significantly after the move to 6.25¢ for high yields indicating lower liquidity but offers little support for tax clienteles hypothesis.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
