The impact of the French Tobin tax

Leonardo Becchetti, Massimo Ferrari and U. Trenta

Journal of Financial Stability, 2014, vol. 15, issue C, 127-148

Abstract: We analyze the impact of the introduction of the French Tobin tax on the turnover and measures of the liquidity and volatility of the affected stocks with nonparametric tests on individual stocks, difference-in-difference tests and other robustness checks controlling for simultaneous month-of-the-year and size effects. Our findings indicate that the tax produces a significant reduction in turnover and volatility (measured in terms of stock price volatility and the high–low price range) and inconclusive effects on liquidity when the latter is evaluated under the two dimensions of the estimated bid–ask spread and the Amihud (2002) price impact ratio.

Keywords: Financial Transaction tax; Financial regulation; Volatility; Liquidity; Turnover (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Related works:
Working Paper: The impact of the French Tobin tax (2013)
Working Paper: The impact of the French Tobin tax (2013)
Working Paper: The impact of the French Tobin tax (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:15:y:2014:i:c:p:127-148

DOI: 10.1016/j.jfs.2014.08.003

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