Finansal araçların vergilendirilmesinin İstanbul Menkul Kıymetler Borsasında işlem gören hisse senetlerinin getirilerine etkileri: IMKB-30 endeksinden kanıtlar

The year 2006 is a turning point on taxation of financial market transactions in Turkey. Financial market transactions were defined for the first time within the law enforcement and the terms of ?security and capital market instruments? went into legislation. The purpose of the new taxation policies is to simplify the process and bring equality in implementation of law among the investors.This study analysis the tax regulations of the financial market instruments in Turkey and try to investigate the effects of taxation on the stock market empirically by using the return and volume data of stocks listed in ISE-30 index. We implement the ?Event Study? methodology for the empirical investigation. Abnormal return and volume measurements around the major tax amendments calculated to evaluate the semi-strong form of market efficiency in ISE.Results of the study suggest that there is very little unusual price behavior observed for the stocks listed ISE-30 index. There exists, however, strong evidence that points toward the unusual volume behavior before and after the tax rate amendments, which is statistically significant. These empirical findings prove that taxation of stock transactions plays a minor role in price formation, however when the stock volume is considered, we observe abnormal volumes before and after the tax rate amendments. Our results indicate that the ISE is not an efficient market at semi-strong form of efficiency. On the other hand, the result that high volume and big price changes are not interrelated indicates that ISE-30 stocks are traded in a ?deep market?.Key Words: Financial instruments, taxation, event study.