Penny wise and pound foolish: capital gains tax and trading volume on the Zagreb Stock Exchange

Globan, Tomislav; Škrinjarić, Tihana

doi:10.3326/pse.44.3.2.

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Penny wise and pound foolish: capital gains tax and trading volume on the Zagreb Stock Exchange

Tomislav Globan*

Tihana Škrinjarić*

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https://doi.org/10.3326/pse.44.3.2

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FIGURES & DATA

REFERENCES

CROSSMARK POLICY

METRICS

LICENCING

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Table 3
Results of panel regression estimations (2013:M01-2019:M01)

(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

3005

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

Table 5
Results of panel regression estimations (2013:M01-2016:M12)

(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

2060

2065

Notes: ***p<0.01, **p<0.05, *p<0.1. Standard errors in parentheses.

Source: Authors’ estimations.

Table A1
Stocks included in the study, abbreviations and full names

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

Source: ZSE (2019)

Table A2
Descriptive statistics of trading volume series in monthly and daily frequencies, in HRK

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

Note: T denotes number of observations; Std Dev denotes standard deviation.

This is an Open Access article distributed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC-BY-NC) which permits non commercial use and redistribution, as long as you give appropriate credit, provide a link to the license, and indicate if changes were made.

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