Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251589 
Year of Publication: 
2022
Series/Report no.: 
IWH Discussion Papers No. 12/2022
Publisher: 
Halle Institute for Economic Research (IWH), Halle (Saale)
Abstract: 
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.
Subjects: 
anticipation effect
financial transaction tax
long-run treatment effect
market quality
short-run treatment effect
JEL: 
G02
G12
H24
M4
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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