Securities transaction tax in France: impact on market quality and inter-market price coordination

  • The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are theoretically predicted, but have not been empirically tested yet. In light of the agreement of eleven European member states to implement an STT, this study aims to give a comprehensive overview of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter-market information transmission. The results show that the STT has led to a decline in liquidity demand, has had a detrimental effect on liquidity supply and negatively influences the inter-market information transmission efficiency. However, no effect on volatility can be observed.

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Metadaten
Author:Peter GomberORCiDGND, Martin HaferkornGND, Kai Zimmermann
URN:urn:nbn:de:hebis:30:3-335117
URL:http://safe-frankfurt.de/de/policy-center/publikationen/details/article/securities-transaction-tax-in-france-impact-on-market-quality-and-inter-market-price-coordination.html
Parent Title (English):SAFE white paper series ; 11
Series (Serial Number):SAFE white paper series (11)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Date of Publication (online):2014/01/16
Date of first Publication:2014/01/16
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2014/06/04
Tag:financial transaction tax; market fragmentation; market quality; speculative trading
Page Number:11
Last Page:10
HeBIS-PPN:344382818
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht