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The impact of the French Tobin tax

  • Leonardo Becchetti

    ()

    (University of Rome "Tor Vergata")

  • Massimo Ferrari

    ()

    (University of Rome "Tor Vergata"
    Poste Italiane)

We 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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Paper provided by Econometica in its series Econometica Working Papers with number wp47.

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Length: 31
Date of creation: Mar 2013
Date of revision:
Handle: RePEc:ent:wpaper:wp47
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