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
Anzeigen / Download3.16 MB
Discovery
1796391794
URN
urn:nbn:de:gbv:3:2-869166
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [22. März 2022]
Umfang
1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB) : Diagramme
Ausgabevermerk
Sprache
eng
Anmerkungen
Inhaltliche Zusammenfassung
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.
Schriftenreihe
IWH-Diskussionspapiere ; 2022, no. 12 (March 2022) ppn:837399270