The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration
Mona Lau and
No 228, arqus Discussion Papers in Quantitative Tax Research from arqus - Arbeitskreis Quantitative Steuerlehre
We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading volume, but show that the long-run effect is small and only significant for low liquidity stocks. We also identify a reduction of long-term volatility measures after the effective date as evidence for a market-stabilizing effect, and an increase in the trading volume of substitute stocks as evidence for a migration of trading activity.
Keywords: financial transaction tax; market quality; announcement effect; short-run treatment effect (search for similar items in EconPapers)
JEL-codes: G02 G12 H24 M4 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:arqudp:228
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