Financial transaction taxes: Announcement effects, short-run effects, and long-run effects
Author
Abstract
Suggested Citation
Note: A completely revised version of this paper has been published as Eichfelder, Sebastian; Noack, Mona; Noth, Felix: The Impact of Financial Transaction Taxes on Stock Markets: Short-run Effects, Long-run Effects, and Reallocation of Trading Activity. IWH Discussion Papers 12/2022. Halle (Saale) 2022. http://hdl.handle.net/10419/251589
Download full text from publisher
References listed on IDEAS
- Harald Hau, 2006.
"The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse,"
Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
- Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.
- Capelle-Blancard, Gunther & Havrylchyk, Olena, 2016.
"The impact of the French securities transaction tax on market liquidity and volatility,"
International Review of Financial Analysis, Elsevier, vol. 47(C), pages 166-178.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris Nanterre, EconomiX.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Post-Print hal-01441775, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441775, HAL.
- Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Documents de travail du Centre d'Economie de la Sorbonne 13085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Working Papers hal-04141335, HAL.
- Pellizzari, Paolo & Westerhoff, Frank, 2009.
"Some effects of transaction taxes under different microstructures,"
Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
- Paolo Pelizzari & Frank Westerhoff, 2007. "Some Effects of Transaction Taxes Under Different Microstructures," Research Paper Series 212, Quantitative Finance Research Centre, University of Technology, Sydney.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Post-Print hal-00727590, HAL.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Summers, L.H. & Summers, V.P., 1989. "When Financial Markets Work Too Well : A Cautious Case For A Securities Transactions Tax," Papers t12, Columbia - Center for Futures Markets.
- Deng, Yongheng & Liu, Xin & Wei, Shang-Jin, 2018.
"One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?,"
Journal of Financial Economics, Elsevier, vol. 130(3), pages 663-692.
- Yongheng Deng & Xin Liu & Shang-Jin Wei, 2014. "One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?," NBER Working Papers 19974, National Bureau of Economic Research, Inc.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014.
"The impact of the French Tobin tax,"
Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Jones, Charles M & Seguin, Paul J, 1997.
"Transaction Costs and Price Volatility: Evidence from Commission Deregulation,"
American Economic Review, American Economic Association, vol. 87(4), pages 728-737, September.
- Paul Seguin & Charles M. Jones, "undated". "Transaction Costs and Price Volatility: Evidence from Commission Deregulation," Home Pages _003, Princeton University, Department of Economics.
- Robert Z. Aliber & Bhagwan Chowdhry & Shu Yan, 2003.
"Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility,"
Review of Finance, Springer, vol. 7(3), pages 481-510.
- Robert Z. Aliber & Bhagwan Chowdhry & Shu Yan, 2003. "Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility," Review of Finance, European Finance Association, vol. 7(3), pages 481-510.
- Capelle-Blancard, Gunther, 2016.
"The abrogation of the “Impôt sur les opérations de bourse” did not foster the French stock market,"
Finance Research Letters, Elsevier, vol. 17(C), pages 257-266.
- Gunther Capelle-Blancard, 2016. "The abrogation of the “Impôt sur les opérations de bourse” did not foster the French stock market," Post-Print hal-01297093, HAL.
- Gunther Capelle-Blancard, 2016. "The abrogation of the “Impôt sur les opérations de bourse” did not foster the French stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01297093, HAL.
- Shinhua Liu & Zhen Zhu, 2009. "Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 65-83, August.
- Mitchell A. Petersen, 2009.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 435-480, January.
- Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
- Badi Baltagi & Dong Li & Qi Li, 2006. "Transaction tax and stock market behavior: evidence from an emerging market," Empirical Economics, Springer, vol. 31(2), pages 393-408, June.
- Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
- Kennedy, Peter E, 1981. "Estimation with Correctly Interpreted Dummy Variables in Semilogarithmic Equations [The Interpretation of Dummy Variables in Semilogarithmic Equations]," American Economic Review, American Economic Association, vol. 71(4), pages 801-801, September.
- Steve Bond & Mike Hawkins & Alexander Klemm, 2005.
"Stamp Duty on Shares and Its Effect on Share Prices,"
FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 61(3), pages 275-297, November.
- Stephen Bond & Mike Hawkins & Alexander Klemm, 2004. "Stamp duty on shares and its effect on share prices," IFS Working Papers W04/11, Institute for Fiscal Studies.
- Umlauf, Steven R., 1993. "Transaction taxes and the behavior of the Swedish stock market," Journal of Financial Economics, Elsevier, vol. 33(2), pages 227-240, April.
- Hu, Shing-yang, 1998. "The effects of the stock transaction tax on the stock market - Experiences from Asian markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 347-364, August.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004.
"How Much Should We Trust Differences-In-Differences Estimates?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 249-275.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc.
- Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
- Jean†Edouard Colliard & Peter Hoffmann, 2017.
"Financial Transaction Taxes, Market Composition, and Liquidity,"
Journal of Finance, American Finance Association, vol. 72(6), pages 2685-2716, December.
- Hoffmann, Peter & Colliard, Jean-Edouard, 2017. "Financial transaction taxes, market composition, and liquidity," Working Paper Series 2030, European Central Bank.
- Raymond M. Brooks & Ajay Patel & Tie Su, 2003. "How the Equity Market Responds to Unanticipated Events," The Journal of Business, University of Chicago Press, vol. 76(1), pages 109-134, January.
- Jerry Parwada & Yixuan Rui & Jianfeng Shen, 2022. "Financial transaction tax and market quality: Evidence from France†," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 90-113, March.
- Stephan Meyer & Martin Wagener & Christof Weinhardt, 2015. "Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 177-202, April.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Frank M. Song & Junxi Zhang, 2005. "Securities Transaction Tax and Market Volatility," Economic Journal, Royal Economic Society, vol. 115(506), pages 1103-1120, October.
- Stiglitz, J.E., 1989. "Using Tax Policy To Curb Speculative Short-Term Trading," Papers t2, Columbia - Center for Futures Markets.
- David Hirshleifer & Sonya Seongyeon Lim & Siew Hong Teoh, 2009.
"Driven to Distraction: Extraneous Events and Underreaction to Earnings News,"
Journal of Finance, American Finance Association, vol. 64(5), pages 2289-2325, October.
- Hirshleifer, David & Lim, Sonya Seongyeon & Teoh, Siew Hong, 2006. "Driven to distraction: Extraneous events and underreaction to earnings news," MPRA Paper 3110, University Library of Munich, Germany, revised 16 Apr 2007.
- Shackelford, Douglas A. & Shaviro, Daniel N. & Slemrod, Joel, 2010. "Taxation and the Financial Sector," National Tax Journal, National Tax Association;National Tax Journal, vol. 63(4), pages 781-806, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
- Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
- Cappelletti, Giuseppe & Guazzarotti, Giovanni & Tommasino, Pietro, 2017.
"The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy,"
Journal of Financial Stability, Elsevier, vol. 31(C), pages 81-92.
- Tommasino, Pietro & Cappelletti, Giuseppe & Guazzarotti, Giovanni, 2016. "The stock market effects of a securities transaction tax: quasi-experimental evidence from Italy," Working Paper Series 1949, European Central Bank.
- Capelle-Blancard, Gunther & Havrylchyk, Olena, 2016.
"The impact of the French securities transaction tax on market liquidity and volatility,"
International Review of Financial Analysis, Elsevier, vol. 47(C), pages 166-178.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441775, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Post-Print hal-01441775, HAL.
- Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Documents de travail du Centre d'Economie de la Sorbonne 13085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris Nanterre, EconomiX.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Working Papers hal-04141335, HAL.
- Deng, Yongheng & Liu, Xin & Wei, Shang-Jin, 2018.
"One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?,"
Journal of Financial Economics, Elsevier, vol. 130(3), pages 663-692.
- Yongheng Deng & Xin Liu & Shang-Jin Wei, 2014. "One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?," NBER Working Papers 19974, National Bureau of Economic Research, Inc.
- Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
- Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017.
"The impact of the French financial transaction tax on HFT activities and market quality,"
Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
- Iryna Veryzhenko & Etienne Harb & Waël Louhichi & Nathalie Oriol, 2017. "The Impact of the French Financial Transaction Tax on HFT Activities and Market Quality," GREDEG Working Papers 2017-05, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
- Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016.
"Financial Transaction Taxes in the European Union,"
National Tax Journal, National Tax Association;National Tax Journal, vol. 69(1), pages 217-240, March.
- Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016. "Financial Transaction Taxes in the European Union," Taxation Papers 62, Directorate General Taxation and Customs Union, European Commission.
- Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
- Thomas Hemmelgarn & Gaetan Nicodeme, 2010.
"The 2008 Financial Crisis and Taxation Policy,"
Taxation Papers
20, Directorate General Taxation and Customs Union, European Commission.
- Thomas Hemmelgarn & Gaëtan Nicodème, 2010. "The 2008 Financial Crisis and Taxation Policy," Working Papers CEB 10-006.RS, ULB -- Universite Libre de Bruxelles.
- Nicodème, Gaëtan & Hemmelgarn, Thomas, 2010. "The 2008 Financial Crisis and Taxation Policy," CEPR Discussion Papers 7666, C.E.P.R. Discussion Papers.
- Thomas Hemmelgarn & Gaëtan J.A. Nicodème & Gaëtan J.A. Nicodeme, 2010. "The 2008 Financial Crisis and Taxation Policy," CESifo Working Paper Series 2932, CESifo.
- Paulo Pereira Silva, 2023. "Securities transaction taxes and stock price informativeness: evidence for France and Italy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 325-345, September.
- Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
- Lendvai, Julia & Raciborski, Rafal & Vogel, Lukas, 2013. "Macroeconomic effects of an equity transaction tax in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 466-482.
- Hvozdyk, Lyudmyla & Rustanov, Serik, 2016. "The effect of financial transaction tax on market liquidity and volatility: An Italian perspective," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 62-78.
- Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
- Michele Dell’Era, 2018. "Financial Transaction Taxes and Expert Advice," Working and Discussion Papers WP 4/2018, Research Department, National Bank of Slovakia.
- Atanas Pekanov & Margit Schratzenstaller-Altzinger, 2019. "A Global Financial Transaction Tax. Theory, Practice and Potential Revenues," WIFO Working Papers 582, WIFO.
- Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
- Scott Mixon, 2022. "US experience with futures transaction taxes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 413-427, March.
More about this item
Keywords
financial transaction tax; market quality; announcement effect; short-run treatment effect;All these keywords.
JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- H24 - Public Economics - - Taxation, Subsidies, and Revenue - - - Personal Income and Other Nonbusiness Taxes and Subsidies
- M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2017-02-19 (Accounting and Auditing)
- NEP-MST-2017-02-19 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:iwhdps:42017. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/iwhhhde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.