The impact of the French Tobin tax

Leonardo Becchetti and Massimo Ferrari

No wp47, Econometica Working Papers from Econometica

Abstract: We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of affected stocks with parametric and non parametric tests on individual stocks, difference in difference tests and other robustness checks controlling for simultaneous month-of-the-year and size effects. Our findings document that the tax has a significant impact in terms of reduction in transaction volumes and intraday volatility. The reduction in volumes traded occurs in similar proportion in non taxed small cap stocks.

Keywords: Financial Transaction Tax; intraday volatility; liquidity, transaction volumes (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Pages: 31
Date: 2013-03
New Economics Papers: this item is included in nep-acc, nep-eec, nep-eur, nep-mst and nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Journal Article: The impact of the French Tobin tax (2014)
Working Paper: The impact of the French Tobin tax (2013)
Working Paper: The impact of the French Tobin tax (2013)
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