Shares in Australia's big four banks - the parent companies of ANZ, Westpac, ASB and BNZ in New Zealand - have taken a hammering on markets following plans by Malcolm Turnbull's coalition Government to impose a new tax.

Australian Treasurer Scott Morrison introduced the levy on Australia's five biggest banks - Westpac, ANZ, Commonwealth, National Australia Bank and Macquarie Group - in yesterday's budget, saying it was a "fair contribution" that would help competition and budget repair.

After shedding some A$14 billion of value last night on speculation about the move the sell-off has continued this morning with ANZ, Westpac, Commonwealth Bank of Australia and the National Bank of Australia all down between one and two per cent.

Patersons Securities economist Tony Farnham told AAP that the 0.06 per cent levy on major banks' liabilities, had unnerved investors.

"It was leaked to market yesterday which caused a sell-off yesterday afternoon," he said. "That has been added to this morning as people try to work out the ramifications of some of their profits going to tax."

He said the banks may have to cut dividends or increase interest rates to maintain their current profit levels.

The Australian Financial Review quoted Deutsche Bank analyst Andrew Triggs saying levy would hit bank profits by between 3 and 6 per cent.

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ANZ would be hit hardest because it was less profitable and had a higher share of foreign deposits. It would have to pay $417 million of 5.9 per cent of its 2018 profits, Triggs said. Commonwealth Bank would have to pay 3.9 per cent of profits, NAB, 4.9 per cent and Westpac 3.9 per cent.

In New Zealand where big bank stocks ANZ and Westpac are listed on the NZX, shares were down between two and three per cent.

But New Zealand Bankers Association chief executive Karen Scott-Howman was keen to differentiate the local operators from their Australian parents.

"New Zealand banks operate in a different environment from those in Australia. Here we have strong and independent regulators, a very competitive banking sector and high levels of customer satisfaction," she said.

- Additional reporting AAP