The Impact of Financial Transaction Taxes on Stock Markets: Short-Run Effects, Long-Run Effects, and Reallocation of Trading Activity

IF 1.8 3区经济学 Q2 BUSINESS, FINANCE

National Tax Journal Pub Date : 2022-08-08 DOI:10.1086/720406

Sebastian Eichfelder, Mona Noack, Felix Noth

引用次数: 0

Abstract

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.

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金融交易税对股票市场的影响：短期效应、长期效应和交易活动再分配

我们对法国2012年金融交易税（FTT）进行了调查，发现了在实施日期之前预期效果的有力证据。控制短期效应，我们只发现贸易活动长期减少的微弱证据。因此，法国自由贸易协定对贸易活动的主要影响是短期的。根据流动性客户效应，我们发现低流动性股票和补充流动性提供商（SLP）计划将交易重新分配给高流动性股票的影响更大。最后，我们发现波动率持续下降的证据不足，但没有迹象表明FTT对价格效率有显著影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

National Tax Journal Multiple-

CiteScore

3.40

自引率

11.80%

发文量

期刊介绍： The goal of the National Tax Journal (NTJ) is to encourage and disseminate high quality original research on governmental tax and expenditure policies. Articles published in the regular March, June and September issues of the journal, as well as articles accepted for publication in special issues of the journal, are subject to professional peer review and include economic, theoretical, and empirical analyses of tax and expenditure issues with an emphasis on policy implications. The NTJ has been published quarterly since 1948 under the auspices of the National Tax Association (NTA). Most issues include an NTJ Forum, which consists of invited papers by leading scholars that examine in depth a single current tax or expenditure policy issue. The December issue is devoted to publishing papers presented at the NTA’s annual Spring Symposium; the articles in the December issue generally are not subject to peer review.