• Medientyp: E-Book
  • Titel: The impact of financial transaction taxes on stock markets : short-run effects, long-run effects, and reallocation of trading activity
  • Beteiligte: Eichfelder, Sebastian [VerfasserIn]; Noack, Mona [VerfasserIn]; Noth, Felix [VerfasserIn]
  • Erschienen: Halle (Saale), Germany: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [22. März 2022]
  • Erschienen in: Leibniz-Institut für Wirtschaftsforschung Halle: IWH-Diskussionspapiere ; 2022,12
  • Umfang: 1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB); Diagramme
  • Sprache: Englisch
  • Identifikator:
  • Entstehung:
  • Schlagwörter: anticipation effect ; financial transaction tax ; long-run treatment effect ; market quality ; short-run treatment effect ; Graue Literatur
  • Beschreibung: 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.
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  • Zugangsstatus: Freier Zugang