119 – The impact of the French Tobin tax

Abstract

We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of a ected stocks with parametric and non parametric tests on individual stocks, di erence in di erence tests and other robustness checks controlling for simultaneous month-of-the-year and size e ects.

Our ndings document that the tax has a signi cant 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 numbers: G18; G12; G14.