Eichfelder, Sebastian
The impact of financial transaction taxes on stock markets short-run effects, long-run effects, and reallocation of trading activity / Sebastian Eichfelder, Mona Noack, and Felix Noth
Resumen
Bibliografía
We investigate the French 2012 financial transaction tax (FTT) and find robust evidence for anticipation effects before the implementation date. Controlling for short-run effects, we only find weak evidence for a long-run reduction in trading activity. Thus, the main impact of the French FTT on trading activity is short-run. In line with liquidity clientele effects, we find a more potent effect for low-liquidity stocks and a reallocation of trading to high-liquidity stocks from the Supplemental Liquidity Provider (SLP) program. Finally, we find weak evidence for a persistent volatility reduction but no indication of a significant FTT impact on price efficiency.
IMPUESTOS
TRANSACCIÓN TRIBUTARIA
OPERACIONES FINANCIERAS
INCIDENCIA Y TRASLACION
Noack, Mona
Noth, Félix
National Tax Journal 0028-0283 v. 75, n. 3, september 2022, pp. 539-569
The impact of financial transaction taxes on stock markets short-run effects, long-run effects, and reallocation of trading activity / Sebastian Eichfelder, Mona Noack, and Felix Noth
Resumen
Bibliografía
We investigate the French 2012 financial transaction tax (FTT) and find robust evidence for anticipation effects before the implementation date. Controlling for short-run effects, we only find weak evidence for a long-run reduction in trading activity. Thus, the main impact of the French FTT on trading activity is short-run. In line with liquidity clientele effects, we find a more potent effect for low-liquidity stocks and a reallocation of trading to high-liquidity stocks from the Supplemental Liquidity Provider (SLP) program. Finally, we find weak evidence for a persistent volatility reduction but no indication of a significant FTT impact on price efficiency.
IMPUESTOS
TRANSACCIÓN TRIBUTARIA
OPERACIONES FINANCIERAS
INCIDENCIA Y TRASLACION
Noack, Mona
Noth, Félix
National Tax Journal 0028-0283 v. 75, n. 3, september 2022, pp. 539-569