119 – The impact of the French Tobin tax


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.


Financial Transaction Tax; intraday volatility; liquidity; transaction volumes.

JEL numbers: G18; G12; G14.