Arbeitspapier

Financial transaction taxes: Announcement effects, short-run effects, and long-run effects

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.

Language
Englisch

Bibliographic citation
Series: IWH Discussion Papers ; No. 4/2017

Classification
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
Accounting
Subject
financial transaction tax
market quality
announcement effect
short-run treatment effect

Event
Geistige Schöpfung
(who)
Eichfelder, Sebastian
Lau, Mona
Noth, Felix
Event
Veröffentlichung
(who)
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
(where)
Halle (Saale)
(when)
2017

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Eichfelder, Sebastian
  • Lau, Mona
  • Noth, Felix
  • Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Time of origin

  • 2017

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