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Análisis sobre la implantación del impuesto español sobre transacciones financieras en los mercados de renta

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  • Ramiro Losada, Albert Martínez Pastor

Abstract

: En este estudio se evalúa el efecto de la introducción del ITF sobre acciones españolas en mercados secundarios, centrándose en sus posibles costes. Para ello, se analizan varias dimensiones de la liquidez (medida a través de la horquilla bid-ask y de la ratio de Amihud), la volatilidad (tanto intradía como histórica) y el volumen de negociación de los mercados secundarios en los que se negocian acciones españolas. En él se utilizan dos metodologías, de diferencias en diferencias y de regresión discontinua, para captar dos tipos de efectos: el impacto de la introducción del impuesto comparando la evolución de las variables sujetas al impuesto en España con aquellas de otros paises, de caraterísticas similares, y no sometidas al impuesto, y la evolución de las variables vinculadas a la negociación de las acciones de las sociedades españolas sujetas al impuesto con las de aquellas que no lo están. El estudio revela que los efectos del impuesto sobre la negociación de acciones españolas han sido limitados en términos absolutos y con un alcance temporal relativamente corto. Así, se detectan dos efectos contrapuestos: por un lado, la negociación de las acciones españolas gravadas disminuyó tras la introducción del impuesto, pero, al mismo tiempo, por otro lado, esas acciones recuperaron parte de la negociación que se realizaba en mercados OTC. La volatilidad, si bien aumentó en el corto plazo, tendió a disminuir en el largo.

Suggested Citation

  • Ramiro Losada, Albert Martínez Pastor, 2023. "Análisis sobre la implantación del impuesto español sobre transacciones financieras en los mercados de renta," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
  • Handle: RePEc:cnv:docutr:dt_83es
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    References listed on IDEAS

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    More about this item

    Keywords

    Impuesto sobre transacciones financieras; análisis de datos; renta variable;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy

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