The impact of the French Tobin tax
AbstractWe analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of affected stocks with parametric and non parametric tests on individual stocks, difference in difference tests and other robustness checks controlling for simultaneous month-of-the-year and size effects. Our findings document that the tax has a significant impact in terms of reduction in transaction volumes and intraday volatility. The reduction in volumes traded occurs in similar proportion in non taxed small cap stocks.
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Bibliographic InfoPaper provided by Econometica in its series Econometica Working Papers with number wp47.
Date of creation: Mar 2013
Date of revision:
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Financial Transaction Tax; intraday volatility; liquidity; transaction volumes;
Other versions of this item:
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ACC-2013-05-05 (Accounting & Auditing)
- NEP-ALL-2013-05-05 (All new papers)
- NEP-EEC-2013-05-05 (European Economics)
- NEP-EUR-2013-05-05 (Microeconomic European Issues)
- NEP-MST-2013-05-05 (Market Microstructure)
- NEP-PBE-2013-05-05 (Public Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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