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The impact of the French Tobin tax

Author

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  • 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.

Suggested Citation

  • 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.
  • Handle: RePEc:ris:aiccon:2013_118
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    More about this item

    Keywords

    Financial Transaction Tax; intraday volatility; liquidity; transaction volumes.;
    All these keywords.

    JEL classification:

    • 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
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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