The effects of tax policy on financial markets: G3 evidence

被引：19

作者：

Arin, K. Peren ^{[1
]}

Mamun, Abdullah ^{[2
]}

Purushothman, Nanda ^{[3
]}

机构：

[1] Massey Univ, Dept Commerce, NSMC, Auckland, New Zealand

[2] Univ Saskatchewan, Edwards Sch Business, 25 Campus Dr, Saskatoon, SK S7N 5A7, Canada

[3] Ernst & Young, Sydney, NSW, Australia

来源：

REVIEW OF FINANCIAL ECONOMICS | 2009年 / 18卷 / 01期

关键词：

Fiscal policy; Stock returns; VAR analysis;

D O I：

10.1016/j.rfe.2008.05.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the effects of various tax policy innovations on stock market returns. By using a vector autoregressive model that controls for the mutual causality between fiscal policy and financial market performance, we test whether financial markets serve as a transmission mechanism for tax policy innovations. Our findings indicate that indirect taxes have a larger effect on market returns than do labor taxes. Further, corporate tax innovations do not have any statistically significant effect on stock returns. We consider that this finding is a result of a firm's ability to switch between equity financing and bond financing. (C) 2008 Elsevier Inc. All rights reserved.

引用

页码：33 / 46

页数：14

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