증권거래세율 인하에 따른 주식시장의 유동성 변동 효과 분석

This study evaluated the impact of the securities transaction tax rate cut implemented in 2019 on the liquidity of the stock market. The empirical results are summarized as follows. First, cutting the transaction tax rate affects trading volume rather than spread or price. Additionally, this liquidity improvement more strongly affects low liquid stocks in the period before the transaction tax rate cut. Second, in low liquid stocks that showed effects in trading volume, individuals and foreigners took the leadership in overall trading. Third, liquidity improvement persisted not only in the short term immediately after the transaction tax rate cut, but also until the second half of the sample period. These empirical results show the differing effect of the transaction tax on improving liquidity by liquidity level and a limited effect in low-liquidity stocks. As investors trading low-liquidity stocks with high tax elasticity were sensitive to the burden of transaction costs, the effect of transaction tax cuts was strong, while such effects could not be found in stocks with high liquidity. These empirical results provide practical implications for the level of transaction costs and the method of setting as a means to revitalize market liquidity.