The Impact of the French Tobin Tax

33 Pages Posted: 2 Mar 2013 Last revised: 24 Jan 2014

See all articles by Leonardo Becchetti

Leonardo Becchetti

University of Rome Tor Vergata - Faculty of Economics

Massimo Ferrari

University of Rome Tor Vergata

Ugo Trenta

Primary Asset Management Company

Date Written: March 1, 2013

Abstract

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 Classification: G18, G12, G14

Suggested Citation

Becchetti, Leonardo and Ferrari, Massimo and Trenta, Ugo, The Impact of the French Tobin Tax (March 1, 2013). CEIS Working Paper No. 266, Available at SSRN: https://ssrn.com/abstract=2226983 or http://dx.doi.org/10.2139/ssrn.2226983

Leonardo Becchetti (Contact Author)

University of Rome Tor Vergata - Faculty of Economics ( email )

Via Columbia, 2
I-00133 Rome
Italy

Massimo Ferrari

University of Rome Tor Vergata ( email )

Via di Tor Vergata
Rome, Lazio 00133
Italy

Ugo Trenta

Primary Asset Management Company ( email )

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