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The impact of the French Tobin tax

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Author Info

  • Becchetti, Leonardo

    ()
    (University of Roma Tor Vergata)

  • Ferrari, Massimo

    ()
    (University of Roma Tor Vergata)

  • Trenta, Ugo

    ()
    (Poste Italiane)

Abstract

We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of a ected stocks with parametric and non parametric tests on individual stocks, di erence in di erence tests and other robustness checks controlling for simultaneous month-of-the-year and size e ects. Our ndings document that the tax has a signi cant 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 Info

Paper provided by Associazione Italiana per la Cultura della Cooperazione e del Non Profit in its series AICCON Working Papers with number 118-2013.

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Length: 31 pages
Date of creation: 01 Feb 2013
Date of revision:
Handle: RePEc:ris:aiccon:2013_118

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Keywords: Financial Transaction Tax; intraday volatility; liquidity; transaction volumes.;

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References

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  1. Umlauf, Steven R., 1993. "Transaction taxes and the behavior of the Swedish stock market," Journal of Financial Economics, Elsevier, vol. 33(2), pages 227-240, April.
  2. Guido Imbens & Karthik Kalyanaraman, 2010. "Optimal bandwidth choice for the regression discontinuity estimator," CeMMAP working papers CWP05/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer, vol. 32(3), pages 161-176, December.
  4. Badi Baltagi & Dong Li & Qi Li, 2006. "Transaction tax and stock market behavior: evidence from an emerging market," Empirical Economics, Springer, vol. 31(2), pages 393-408, June.
  5. Stiglitz, J.E., 1989. "Using Tax Policy To Curb Speculative Short-Term Trading," Papers t2, Columbia - Center for Futures Markets.
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Cited by:
  1. Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
  2. Luc Eyraud, 2014. "Reforming Capital Taxation in Italy," IMF Working Papers 14/6, International Monetary Fund.

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