Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/95909
Authors: 
Gomber, Peter
Haferkorn, Martin
Zimmermann, Kai
Year of Publication: 
2014
Series/Report no.: 
White Paper Series 11
Abstract: 
The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are theoretically predicted, but have not been empirically tested yet. In light of the agreement of eleven European member states to implement an STT, this study aims to give a comprehensive overview of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter-market information transmission. The results show that the STT has led to a decline in liquidity demand, has had a detrimental effect on liquidity supply and negatively influences the inter-market information transmission efficiency. However, no effect on volatility can be observed.
Subjects: 
financial transaction tax
market fragmentation
speculative trading
market quality
Document Type: 
Working Paper

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