Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182540
Authors: 
Eichfelder, Sebastian
Lau, Mona
Noth, Felix
Year of Publication: 
2018
Series/Report no.: 
arqus Discussion Paper 228
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.
Subjects: 
financial transaction tax
market quality
announcement effect
short-run treatment effect
JEL: 
G02
G12
H24
M4
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.