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Penny wise and pound foolish: capital gains tax and trading volume on the Zagreb Stock Exchange*
Tomislav Globan**
Tomislav Globan
Affiliation: Faculty of Economics & Business, University of Zagreb, Zagreb, Croatia
 0000-0001-5716-2113
Tihana Škrinjarić** 
Article | Year: 2020 | Pages: 299 - 329 | Volume: 44 | Issue: 3 Received: June 1, 2019 | Accepted: February 9, 2020 | Published online: September 1, 2020
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Source: Authors’ estimations.
Source: Authors’ estimations.
Source: Authors’ estimations.
|
Day
|
Sign test
|
|
Normal
approximation
|
Exact
binomial
|
|
-10
|
1.17
|
(0.243)
|
28
|
(0.243)
|
|
-9
|
1.75*
|
(0.080)
|
30*
|
(0.079)
|
|
-8
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
-7
|
2.33**
|
(0.020)
|
32**
|
(0.019)
|
|
-6
|
2.33**
|
(0.020)
|
32**
|
(0.019)
|
|
-5
|
3.21***
|
(0.001)
|
35***
|
(0.001)
|
|
-4
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
-3
|
2.33**
|
(0.020)
|
32**
|
(0.019)
|
|
-2
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
-1
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
0
|
2.33**
|
(0.020)
|
32**
|
(0.019)
|
|
1
|
3.21***
|
(0.001)
|
35***
|
(0.001)
|
|
2
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
3
|
1.46
|
(0.145)
|
29
|
(0.144)
|
|
4
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
5
|
1.75*
|
(0.080)
|
30*
|
(0.079)
|
|
6
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
7
|
2.63***
|
(0.009)
|
33***
|
(0.008)
|
|
8
|
2.04**
|
(0.041)
|
31**
|
(0.040)
|
|
9
|
2.04**
|
(0.041)
|
31**
|
(0.040)
|
|
10
|
1.75*
|
(0.080)
|
30*
|
(0.079)
|
Note: ***p<0.01, **p<0.05, *p<0.1. p-values in parentheses. Source: Authors’ estimations.
Source: Authors’ estimations.
|
|
(1)
|
(2)
|
(3)
|
(4)
|
|
Polynomial order
|
p=4
|
p=3
|
p=2
|
p=1
|
|
Estimator
|
|
|
|
|
|
Conventional
|
-0.667**
|
-0.505**
|
-0.362*
|
-0.251
|
|
(0.320)
|
(0.249)
|
(0.219)
|
(0.169)
|
|
Bias-corrected
|
-0.719**
|
-0.536**
|
-0.411*
|
-0.309*
|
|
(0.320)
|
(0.249)
|
(0.219)
|
(0.169)
|
|
Robust std. errors
|
-0.719**
|
-0.536*
|
-0.411*
|
-0.309
|
|
(0.350)
|
(0.276)
|
(0.248)
|
(0.196)
|
|
Number of
obs.
|
|
|
|
|
|
Total
|
3096
|
3096
|
3096
|
3096
|
|
Left of the cut-off
|
1574
|
1574
|
1574
|
1574
|
|
Right of the cut-off
|
1522
|
1522
|
1522
|
1522
|
Note: ***p<0.01, **p<0.05, *p<0.1. Standard errors in parentheses. Source: Authors’ estimations.
|
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
(6)
|
|
|
Panel EGLS (cross-section weights)
|
Panel least squares (no weights)
|
|
Dependent variable (volume)
|
growth rate
|
log
|
in HRK
|
growth rate
|
log
|
in HRK
|
|
volume(-1)
|
-0.437***
(0.018)
|
0.443***
(0.024)
|
0.284***
(0.029)
|
-0.442***
(0.022)
|
0.444***
(0.024)
|
0.069*
(0.037)
|
|
tax
|
-0.446***
(0.097)
|
-0.458***
(0.113)
|
-27,961.4***
(8,468.0)
|
-0.497***
(0.094)
|
-0.489***
(0.113)
|
-26,445.0
(20,793.4)
|
|
pretax
|
0.164***
(0.038)
|
0.188***
(0.033)
|
5,987.7***
(2,244.3)
|
0.139***
(0.040)
|
0.160***
(0.033)
|
-32,576.2*
(17,940.9)
|
|
aftertax
|
-0.001
(0.053)
|
-0.078
(0.049)
|
232.0
(3,390.7)
|
0.009
(0.055)
|
-0.063
(0.049)
|
34,853.7
(36,126.9)
|
|
stdev
|
0.032***
(0.011)
|
0.004
(0.113)
|
313.56
(574.83)
|
0.018*
(0.011)
|
-0.006
(0.010)
|
-3,060.3
(5,914.17)
|
|
return
|
0.061***
(0.021)
|
0.049***
(0.019)
|
1,252.41
(813.42)
|
0.054**
(0.022)
|
0.039**
(0.018)
|
11,519.3
(7,654.1)
|
|
january
|
0.102*
(0.104)
|
0.073
(0.122)
|
12,781.6
(8,840.2)
|
0.144
(0.102)
|
0.104
(0.122)
|
-19,739.5
(23,000.9)
|
|
constant
|
-0.062
(0.047)
|
6.386***
(0.276)
|
220,956***
(8,692.0)
|
-0.063
(0.047)
|
6.395***
(0.281)
|
281,382***
(25,462.2)
|
|
R-squared
|
0.204
|
0.774
|
0.443
|
0.206
|
0.713
|
0.262
|
|
Adj. R-sq.
|
0.190
|
0.770
|
0.434
|
0.192
|
0.708
|
0.249
|
|
No. of observ.
|
3005
|
3019
|
3019
|
3005
|
3019
|
3019
|
|
Notes: ***p<0.01, **p<0.05, *p<0.1.
Standard errors in parentheses.
Source: authors’ estimations
|
Notes: ***p<0.01, **p<0.05, *p<0.1. Standard errors in parentheses. Source: authors’ estimations
|
VARIABLE (volume)
|
(1)
|
(2)
|
(3)
|
|
Croatia post-2015:M12
|
-0.663*
|
-0.233**
|
-0.270*
|
|
(0.343)
|
(0.110)
|
(0.161)
|
|
Stock market return
|
|
0.201*
|
0.356**
|
|
|
(0.111)
|
(0.147)
|
|
Stock market volatility
|
|
0.345***
|
0.407***
|
|
|
(0.090)
|
(0.123)
|
|
Interest rate
|
|
0.012
|
0.045
|
|
|
(0.026)
|
(0.035)
|
|
Growth in money supply
|
|
-0.021
|
-0.011
|
|
|
(0.042)
|
(0.052)
|
|
Exchange rate volatility
|
|
0.009
|
0.032
|
|
|
(0.069)
|
(0.091)
|
|
Constant
|
|
17.683***
|
17.513***
|
|
|
(0.099)
|
(0.141)
|
|
R-squared
|
0.110
|
0.277
|
0.218
|
Notes: Treated observations are trading volumes of Croatian stocks after the capital gains tax was introduced. Control group consists of Bulgaria, Czech Republic, Hungary, Poland, and Romania. Model (3) excludes the period after 2016:M12 to exclude the effect of the Agrokor crisis. Standard errors in parentheses. ***p<0.01, **p<0.05, *p<0.1 Source: authors’ estimations
Source: Authors’ estimations.
|
|
(7)
|
(8)
|
(9)
|
(10)
|
(11)
|
(12)
|
|
|
Panel EGLS (cross-section weights)
|
Panel least squares (no weights)
|
|
Dependent variable (volume)
|
growth rate
|
log
|
in HRK
|
growth rate
|
log
|
in HRK
|
|
Volume (-1)
|
-0.444***
(0.021)
|
0.372***
(0.025)
|
0.221***
(0.026)
|
-0.453***
(0.024)
|
0.377***
(0.027)
|
0.089*
(0.047)
|
|
tax
|
-0.490***
(0.054)
|
-0.451***
(0.061)
|
-32,218.6***
(5,794.3)
|
-0.554***
(0.028)
|
-0.510***
(0.059)
|
-34,607.8**
(16,564.0)
|
|
pretax
|
0.169***
(0.040)
|
0.182***
(0.033)
|
7,020.49**
(2,847.7)
|
0.150***
(0.041)
|
0.156***
(0.033)
|
-36,844.9*
(19,617.5)
|
|
aftertax
|
0.056
(0.067)
|
-0.028
(0.059)
|
2,165.3
(4,069.4)
|
0.082
(0.072)
|
0.037
(0.061)
|
60,357.4
(65,500.3)
|
|
stdev
|
0.095***
(0.017)
|
0.057***
(0.016)
|
3,699.25***
(1,175.51)
|
0.066***
(0.017)
|
0.032**
(0.016)
|
3,059.2
(13,840.0)
|
|
return
|
0.084***
(0.026)
|
0.078***
(0.022)
|
3,847.8***
(1,386.9)
|
0.058**
(0.024)
|
0.045**
(0.021)
|
32,604.4**
(13,406.9)
|
|
january
|
0.176***
(0.065)
|
0.101
(0.068)
|
13,091.4**
(6,238.3)
|
0.205***
(0.047)
|
0.122*
(0.066)
|
-13,823.8
(23,534.1)
|
|
constant
|
-0.239***
(0.058)
|
7.084***
(0.292)
|
23,7926***
(8,616.2)
|
-0.176***
(0.058)
|
7.069***
(0.314)
|
26,8943***
(44,069.2)
|
|
R-squared
|
0.229
|
0.797
|
0.487
|
0.226
|
0.717
|
0.268
|
|
Adj. R-squared
|
0.210
|
0.792
|
0.474
|
0.206
|
0.710
|
0.249
|
|
No. of observ.
|
2060
|
2065
|
2065
|
2060
|
2065
|
2065
|
Notes: ***p<0.01, **p<0.05, *p<0.1. Standard errors in parentheses. Source: Authors’ estimations.
|
Abbreviation
|
Full name
|
Abbreviation
|
Full name
|
|
ADPL
|
AD Plastik
|
KOEI
|
Končar
elektroindustrija
|
|
ADRS
|
Adris Grupa
|
KRAS
|
Kraš
|
|
ADRS2
|
Adris Grupa
|
LEDO
|
Ledo
|
|
ARNT
|
Arenahospitality
Group
|
LKPC
|
Luka Ploče
|
|
ATGR
|
Atlantic
Grupa
|
LRH
|
Liburnia Riviera Hoteli
|
|
ATLN
|
Excelsa
Nekretnine
|
MAIS
|
Maistra
|
|
ATPL
|
Atlanska
Plovidba
|
OPTE
|
Ot-Optima
Telekom
|
|
BD62
|
Badel 1862
|
PBZ
|
Privredna Banka Zagreb
|
|
DDJH
|
Đuro Đaković
Grupa
|
PLAG
|
Plava Laguna
|
|
DLKV
|
Dalekovod
|
PODR
|
Podravka
|
|
ERNT
|
Ericsson
Nikola Tesla
|
PTKM
|
Petrokemija
|
|
HIMR
|
Imeprial
Hotelijerstvo
|
RIVP
|
Valamar
Riviera
|
|
HMST
|
Hoteli Maestral
|
RIZO
|
Riz-Odašiljači
|
|
HT
|
Hrvatski
Telekom
|
SUNH
|
Sunčani Hvar
|
|
HTKP
|
Htp Korčula
|
THNK
|
Tehnika
|
|
HUPZ
|
Hup Zagreb
|
TPNG
|
Tankerska
Next Generation
|
|
IGH
|
Institut IGH
|
TUHO
|
Turisthotel
|
|
INA
|
Ina
|
ULPL
|
Uljanik
Plovidba
|
|
INGR
|
Ingra
|
VART
|
Varteks
|
|
IPKK
|
Termes Grupa
|
VDKT
|
Viadukt
|
|
JMNC
|
Jamnica
|
VERN
|
Genera
|
|
JNAF
|
Jadranski
Naftovod
|
ZABA
|
Zagrebačka
Banka
|
|
KODT
|
Končar transformatori
|
|
|
|
Stock
|
Volume – monthly series
|
Volume – daily series
|
|
In thousands
|
|
In thousands
|
|
T
|
Mean
|
Max
|
Min
|
Std Dev
|
T
|
Mean
|
Max
|
Min
|
Std Dev
|
|
ADPL
|
137
|
267.75
|
1,053.45
|
26.89
|
216.88
|
244
|
123.63
|
1,567.48
|
0.29
|
212.86
|
|
ADRS
|
137
|
338.98
|
4,990.79
|
10.13
|
479.49
|
210
|
483.92
|
12,017.97
|
0.52
|
1,164.48
|
|
ADRS2
|
137
|
1,040.93
|
8,546.29
|
191.83
|
990.20
|
267
|
1,230.45
|
10,257.70
|
6.02
|
1,385.18
|
|
ARNT
|
137
|
116.35
|
999.37
|
3,291.37
|
150.59
|
226
|
72.13
|
697.17
|
0.33
|
88.08
|
|
ATGR
|
137
|
415.06
|
2,704.10
|
43.49
|
413.64
|
261
|
359.35
|
12,294.00
|
0.82
|
1,061.10
|
|
ATLN
|
137
|
23.16
|
169.46
|
2,291.80
|
19.43
|
160
|
28.79
|
299.33
|
0.09
|
38.92
|
|
ATPL
|
137
|
1,182.02
|
11,737.10
|
34.81
|
2,234.49
|
255
|
101.23
|
856.16
|
0.57
|
140.10
|
|
BD62
|
137
|
32.95
|
334.56
|
2,168.67
|
50.05
|
112
|
29.53
|
452.56
|
0.01
|
71.99
|
|
DDJH
|
137
|
205.45
|
1,707.93
|
11.25
|
223.84
|
267
|
148.16
|
1,127.95
|
0.03
|
199.05
|
|
DLKV
|
137
|
658.26
|
3,806.65
|
11.16
|
921.73
|
259
|
145.05
|
1,884.55
|
1.13
|
213.69
|
|
ERNT
|
137
|
730.53
|
8,319.04
|
64.62
|
1,141.86
|
265
|
311.94
|
6,703.40
|
4.68
|
567.35
|
|
HIMR
|
132
|
82.77
|
2,641.55
|
1.65
|
250.76
|
143
|
95.56
|
7,418.40
|
0.40
|
534.32
|
|
HMST
|
118
|
41.36
|
404.98
|
1.35
|
62.07
|
135
|
50.84
|
907.15
|
0.21
|
96.95
|
|
HT
|
137
|
3,458.93
|
16,686.34
|
497.06
|
3,247.30
|
267
|
1,428.45
|
7,246.07
|
146.63
|
1,211.95
|
|
HTKP
|
137
|
322.17
|
4,367.23
|
1.40
|
644.38
|
58
|
14.84
|
229.30
|
0.06
|
32.62
|
|
HUPZ
|
133
|
2,590.00
|
25,767.94
|
107.36
|
4,021.53
|
122
|
87.22
|
2,408.00
|
1.72
|
249.64
|
|
IGH
|
137
|
663.28
|
6,975.49
|
3,531.91
|
1,405.50
|
143
|
19.49
|
175.94
|
0.09
|
29.89
|
|
INA
|
130
|
1,712.24
|
65,483.06
|
15.10
|
6,606.88
|
196
|
134.43
|
6,471.87
|
2.66
|
454.71
|
|
INGR
|
137
|
507.56
|
4,658.47
|
6,427.43
|
830.21
|
222
|
53.62
|
978.09
|
0.03
|
122.86
|
|
IPKK
|
136
|
63.42
|
830.74
|
5,908.33
|
130.48
|
59
|
27.36
|
1,088.35
|
0.08
|
109.47
|
|
JMNC
|
113
|
619.07
|
25,080.00
|
31.58
|
2,495.54
|
35
|
705.41
|
11,025.00
|
85.50
|
1,363.60
|
|
JNAF
|
137
|
127.84
|
1,044.36
|
10.13
|
161.74
|
88
|
191.39
|
4,783.23
|
3.35
|
591.25
|
|
KODT
|
137
|
75.43
|
1,616.32
|
7,158.87
|
149.30
|
77
|
172.85
|
14,400.00
|
1.11
|
1,247.46
|
|
KOEI
|
137
|
436.93
|
4,127.71
|
34.76
|
555.59
|
201
|
259.15
|
14,719.90
|
0.67
|
1,159.17
|
|
KRAS
|
137
|
118.70
|
473.32
|
19.35
|
84.14
|
253
|
152.63
|
1,164.25
|
2.30
|
202.21
|
|
LEDO
|
116
|
555.80
|
6,570.51
|
36.87
|
778.98
|
164
|
637.45
|
14,962.34
|
7.73
|
1,737.54
|
|
LKPC
|
137
|
188.41
|
2,882.99
|
5.45
|
321.29
|
189
|
119.98
|
8,994.87
|
0.62
|
624.03
|
|
LRH
|
137
|
94.50
|
608.64
|
5,691.94
|
108.09
|
142
|
91.51
|
744.68
|
3.27
|
123.77
|
|
MAIS
|
137
|
56.59
|
400.06
|
2,105.70
|
67.25
|
209
|
61.19
|
401.85
|
0.14
|
73.53
|
|
OPTE
|
137
|
65.74
|
692.44
|
2,104.67
|
115.49
|
230
|
60.61
|
1,561.05
|
0.00
|
129.44
|
|
PBZ
|
137
|
163.91
|
2,473.85
|
3,197.20
|
290.03
|
129
|
115.87
|
2,073.68
|
0.55
|
302.72
|
|
PLAG
|
136
|
109.20
|
2,284.17
|
7.78
|
220.60
|
106
|
118.58
|
1,327.39
|
4.05
|
211.61
|
|
PODR
|
137
|
494.29
|
3,759.51
|
49.03
|
492.02
|
254
|
543.90
|
5,650.90
|
0.91
|
911.76
|
|
PTKM
|
137
|
309.13
|
3,284.68
|
1.22
|
476.12
|
184
|
41.35
|
1,473.83
|
0.07
|
120.80
|
|
RIVP
|
135
|
555.08
|
3,211.42
|
5,263.15
|
645.71
|
267
|
809.06
|
4,414.41
|
42.88
|
792.66
|
|
RIZO
|
112
|
32.00
|
750.82
|
0.05
|
79.32
|
205
|
71.63
|
1,498.57
|
0.09
|
159.69
|
|
SUNH
|
108
|
21.18
|
174.86
|
1.28
|
29.35
|
116
|
30.04
|
815.57
|
0.02
|
87.09
|
|
THNK
|
137
|
124.46
|
932.35
|
1,319.17
|
180.72
|
118
|
28.04
|
201.06
|
0.29
|
35.43
|
|
TPNG
|
52
|
42.90
|
448.85
|
3,452.14
|
83.11
|
213
|
48.60
|
1,448.86
|
0.08
|
170.53
|
|
TUHO
|
137
|
90.55
|
898.46
|
6,566.67
|
108.85
|
84
|
189.01
|
3,906.28
|
2.41
|
493.60
|
|
ULPL
|
137
|
252.91
|
4,197.33
|
3,355.38
|
575.65
|
211
|
25.80
|
190.28
|
0.25
|
29.09
|
|
VART
|
136
|
51.60
|
2,077.46
|
0.90
|
186.44
|
226
|
25.18
|
179.42
|
0.02
|
29.78
|
|
VDKT
|
119
|
154.39
|
1,449.05
|
7,746.58
|
220.92
|
148
|
72.99
|
1,377.11
|
0.23
|
155.84
|
|
VERN
|
98
|
98.54
|
4,272.85
|
2,028.40
|
459.19
|
178
|
77.02
|
815.82
|
0.14
|
122.96
|
|
ZABA
|
137
|
344.38
|
3,533.72
|
25.12
|
439.85
|
223
|
178.38
|
2,063.88
|
0.04
|
303.27
|
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|
September, 2020
III/2020 |
