Increasing taxes on capital gains will decrease investment in financial assets and depress stock prices. Depending on severity this could be disastrous for pension funds which are hiding their liabilities by assuming unreasonable gains in the market. As an aside, I believe this is also why the FED is propping up the markets through easing. The impact of lower market returns on 401ks is obvious
Same as investing in capital. Why would companies invest in capital improvements, factories etc if their gains are taxed at a higher rate? Capital will flow to more lucrative markets. The other thing about capital that is often overlooked is internal capitalized labor. Assets created by internal capitalized labor are treated as capital. So a new computer system and the cost of all the programmers and engineers used to create the asset are treated as capital costs. Also, the disposition of the asset (depreciation) is included in capital gains calculations.
Of course, if you consider corporate taxes as taxation on capital (in the context of taxing capital instead of taxing labor) then the run for the border is more obvious.