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Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
arqus Discussion Paper No. 228
Verlag: 
Arbeitskreis Quantitative Steuerlehre (arqus), Berlin
Zusammenfassung: 
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.
Schlagwörter: 
financial transaction tax
market quality
announcement effect
short-run treatment effect
JEL: 
G02
G12
H24
M4
Dokumentart: 
Working Paper

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