The impact of the French Tobin tax

Leonardo Becchetti, Massimo Ferrari and Ugo Trenta ()
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Ugo Trenta: Poste Italiane

No 266, CEIS Research Paper from Tor Vergata University, CEIS

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: 33 pages
Date: 2013-03-01, Revised 2013-03-01
New Economics Papers: this item is included in nep-acc, nep-eec, nep-mst, nep-pbe and nep-pub
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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