 The impact of Securities Transaction Tax on market quality: Evidence from France and ItalyFilip ?ramko ()
International Journal of Economic Sciences, 2015, vol. 4, issue 3, 52-93 Abstract: This paper analyzes two recent securities transaction tax (STT) implementations in France and Italy in order to identify the effects of STT on market quality. The effects are observed on panel data in four periods utilizing several trading activity and market quality measures. Difference-in-Differences are estimated using several control groups including German and Spanish equities. The results suggest significant decrease in trading activity and liquidity in French taxed stocks following the STT levy. The effect of STT on volatility is statistically insignificant across different control groups and estimation periods. The need to account for seasonal effects is also demonstrated. In Italian case, the results are inconclusive due to possible contamination by political events, but the evidence points to decrease in trading activity following the reform. The evidence regarding volatility and liquidity in Italian case is mixed. Keywords: Financial Transaction Tax; Market Quality; Volatility; Liquidity; Securities Transaction Tax (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sek:jijoes:v:4:y:2015:i:3:p:52-93 Access Statistics for this article International Journal of Economic Sciences is currently edited by Robert Holman More articles in International Journal of Economic Sciences from International Institute of Social and Economic Sciences |
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