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Stock Market’s Reactions to Revelation of Tax Evasion: An Empirical Assessment

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Additionally to the financial crisis causing a world recession, Liechtenstein’s financial sector has been challenged by the so-called “Zumwinkel-Affair”, when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An unconventional augmented GARCH-model (labelled as “augmented amalGARCH”), which outperforms conventional models, is introduced and dynamically analyses various influences on risk and returns. Also, an event study framework is applied. The main finding beyond further conclusions is that the Zumwinkel-Affair had an (accumulating) effect on risk, but surprisingly no impact on average stock return could be detected.


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Author information

Correspondence to Andreas Brunhart.

Additional information

The author would like to thank Robert Kunst (University of Vienna), Karl Schlag (University of Vienna), Martin Kocher (Ludwig-Maximilians-University Munich), Carsten-Henning Schlag (University of Liechtenstein), Kersten Kellermann (Konjunkturforschungsstelle Liechtenstein), Berno Buchel (University of Hamburg) and various participants of the “graduate and staff seminar” at the University of Vienna and also an anonymous referee for useful comments.

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Brunhart, A. Stock Market’s Reactions to Revelation of Tax Evasion: An Empirical Assessment. Swiss J Economics Statistics 150, 161–190 (2014).

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  • Tax Evasion
  • Liechtenstein
  • Zumwinkel
  • Stock Price Volatility
  • Augmented GARCH
  • Event Study


  • C01
  • C22
  • G01
  • G14
  • G21