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The impact of financial transaction taxes: Evidence from Italy

Author

Listed:
  • Tobias R. Rühl

    () (University of Duisburg-Essen)

  • Michael Stein

    () (University of Duisburg-Essen)

Abstract

This study gives first evidence on the consequences of the introduction of a transaction tax in Italian financial markets in 2013. We discuss the consequences of this tax on trading volume, volatility, and trading costs of FTSE MIB stocks. The structure of the tax introduction gives us the opportunity to see the particular consequences of a market-wide tax on high-frequency trading behavior.

Suggested Citation

  • Tobias R. Rühl & Michael Stein, 2014. "The impact of financial transaction taxes: Evidence from Italy," Economics Bulletin, AccessEcon, vol. 34(1), pages 25-33.
  • Handle: RePEc:ebl:ecbull:eb-14-00006
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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I1-P3.pdf
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    References listed on IDEAS

    as
    1. Jones, Charles M & Seguin, Paul J, 1997. "Transaction Costs and Price Volatility: Evidence from Commission Deregulation," American Economic Review, American Economic Association, vol. 87(4), pages 728-737, September.
    2. repec:zbw:rwirep:0452 is not listed on IDEAS
    3. Rühl, Tobias R. & Stein, Michael, 2013. "The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips," Ruhr Economic Papers 452, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    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. 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.
    6. Frank De Jong & Monique W. M. Donders, 1998. "Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market," Review of Finance, European Finance Association, vol. 1(3), pages 337-359.
    7. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
    8. Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.
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    Cited by:

    1. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
    2. Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016. "Financial Transaction Taxes in the European Union," National Tax Journal, National Tax Association;National Tax Journal, vol. 69(1), pages 217-240, March.
    3. Capelle-Blancard, Gunther, 2017. "Curbing the growth of stock trading? Order-to-trade ratios and financial transaction taxes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 48-73.
    4. Atanas Pekanov & Margit Schratzenstaller, 2019. "A Global Financial Transaction Tax. Theory, Practice and Potential Revenues," WIFO Working Papers 582, WIFO.

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    More about this item

    Keywords

    Market Microstructure; Financial Transaction Tax; Bid-Ask Spreads;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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