Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162677
Authors: 
Colliard, Jean-Edouard
Hoffmann, Peter
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2030
Abstract: 
We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-term investors. Finally, our findings show that moderate aggregate effects on market quality can mask large adjustments made by individual agents.
Subjects: 
financial transaction tax
institutional trading
liquidity
high-frequency trading
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2752-9
Document Type: 
Working Paper

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