The impact of the French Tobin tax
Becchetti LeonardoFerrari MassimoTrenta Ugo
CEIS Research Paper
We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of affected stocks with parametric and non parametric tests on individual stocks, difference in difference tests and other robustness checks controlling for simultaneous month-of-the-year and size effects. Our findings document that the tax has a significant impact in terms of reduction in transaction volumes and intraday volatility. The reduction in volumes traded occurs in similar proportion in non taxed small cap stocks.
Keywords: Financial Transaction Tax; intraday volatility; liquidity, transaction volumes
JEL codes: G18; G12; G14
Date: Friday, March 1, 2013
Revision Date: Friday, March 1, 2013