Arbeitspapier
The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and reallocation of trading activity
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 12/2022
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
- Thema
-
anticipation effect
financial transaction tax
long-run treatment effect
market quality
short-run treatment effect
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eichfelder, Sebastian
Noack, Mona
Noth, Felix
- Ereignis
-
Veröffentlichung
- (wer)
-
Halle Institute for Economic Research (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2022
- Handle
- URN
-
urn:nbn:de:gbv:3:2-869166
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Eichfelder, Sebastian
- Noack, Mona
- Noth, Felix
- Halle Institute for Economic Research (IWH)
Entstanden
- 2022
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