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 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 InfoPaper provided by Associazione Italiana per la Cultura della Cooperazione e del Non Profit in its series AICCON Working Papers with number 118-2013.
Length: 31 pages
Date of creation: 01 Feb 2013
Date of revision:
Financial Transaction Tax; intraday volatility; liquidity; transaction volumes.;
Other versions of this item:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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