CEIS Research Papers

The impact of the French Tobin tax
Becchetti Leonardo, Ferrari Massimo and Trenta 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.

Number: 266

Keywords: Financial Transaction Tax; intraday volatility; liquidity, transaction volumes

JEL-codes: G18; G12; G14

Volume: 11

Issue: 4

Date: 01/03/2013