Eichfelder, SebastianNoack, MonaNoth, Felix2025-05-302022kxp: 1796391794https://epflicht.bibliothek.uni-halle.de/handle/123456789/110661796391794urn:nbn:de:gbv:3:2-8691663177260We 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.1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB) : Diagrammeenghttp://rightsstatements.org/vocab/InC/1.0/anticipation effectfinancial transaction taxlong-run treatment effectmarket qualityshort-run treatment effect330Book