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  1. The impact of financial transaction taxes on stock markets
    short-run effects, long-run effects, and reallocation of trading activity
    Author: Eichfelder, Sebastian; Noack, Mona; Noth, Felix
    Published: [22. März 2022]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition, we consider measures for long-run volatility and first-order autocorrelation that have not been explored yet. We find robust evidence for anticipation effects before the effective date of the French FTT. Controlling for short-run effects, we only find weak evidence for a long-run reduction of trading activity due to the French FTT. Thus, the main impact of the French FTT on trading activity is short-run. We find stronger reactions of low-liquidity treated stocks and a reallocation of trading activity to high-liquidity stocks participating in the Supplemental Liquidity Provider Programme, which is both in line with liquidity clientele effects. Finally, we find weak evidence for a persistent volatility reduction but no indication for a significant FTT impact on price efficiency measured by first-order autocorrelation.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/251589
    Series: IWH discussion papers ; 2022, no. 12 (March 2022)
    Subjects: anticipation effect; financial transaction tax; long-run treatment effect; market quality; short-run treatment effect
    Scope: 1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB), Diagramme