The impact of financial transaction taxes on stock markets : short-run effects, long-run effects, and reallocation of trading activity / Sebastian Eichfelder, Mona Noack, Felix Noth
VerfasserEichfelder, Sebastian ; Noack, Mona ; Noth, Felix
ErschienenHalle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [22. März 2022]
Umfang1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB) : Diagramme
SerieIWH-Diskussionspapiere ; 2022, no. 12 (March 2022)
Schlagwörteranticipation effect / financial transaction tax / long-run treatment effect / market quality / short-run treatment effect
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The impact of financial transaction taxes on stock markets [3.16 mb]
We investigate the impact of the French 2012 financial transaction tax on trading activity volatility and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition we consider measures for long-run volatility and first-order autocorrelation that have not been explored yet. We find robust evidence for anticipation effects before the effective date of the French FTT. Controlling for short-run effects we only find weak evidence for a long-run reduction of trading activity due to the French FTT. Thus the main impact of the French FTT on trading activity is short-run. We find stronger reactions of low-liquidity treated stocks and a reallocation of trading activity to high-liquidity stocks participating in the Supplemental Liquidity Provider Programme which is both in line with liquidity clientele effects. Finally we find weak evidence for a persistent volatility reduction but no indication for a significant FTT impact on price efficiency measured by first-order autocorrelation.