Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149885
Authors: 
Eichfelder, Sebastian
Lau, Mona
Noth, Felix
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers 4/2017
Abstract: 
We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.
Subjects: 
financial transaction tax
market quality
announcement effect
short-run treatment effect
JEL: 
G02
G12
H24
M41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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