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The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration

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  • Eichfelder, Sebastian
  • Lau, Mona
  • Noth, Felix

Abstract

We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading volume, but show that the long-run effect is small and only significant for low liquidity stocks. We also identify a reduction of long-term volatility measures after the effective date as evidence for a market-stabilizing effect, and an increase in the trading volume of substitute stocks as evidence for a migration of trading activity.

Suggested Citation

  • Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
  • Handle: RePEc:zbw:arqudp:228
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    References listed on IDEAS

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    More about this item

    Keywords

    financial transaction tax; market quality; announcement effect; short-run treatment effect;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H24 - Public Economics - - Taxation, Subsidies, and Revenue - - - Personal Income and Other Nonbusiness Taxes and Subsidies
    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting

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