Joint research unit 7235

The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility

Gunther Capelle-Blancard, Olena Havrylchyk

In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French firms, all listed on Euronext. This provides two reliable control groups (smaller French firms and foreign firms also listed on Euronext) and allows using difference-in-difference methodology to isolate the impact of the tax from other economic changes occurring simultaneously. We find that the STT has reduced trading volume, but we find no effect on theoretically based measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on different control groups (German stocks included in DAX and MDAX), analyze dynamic effects or construct a control group by propensity score matching.

AGENDA

Tuesday 7 February 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

Flood Risk Information: Evidence from Paris Housing Markets

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Tuesday 7 February 2023

Développement Durable Environnement et Energie (DDEE)

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Thursday 9 February 2023

Gender, competitiveness, and reaction to defeat

Claire Mollier

Gender, competitiveness, and reaction to defeat

Thursday 9 February 2023

Doctorants

Claire Mollier

Gender, competitiveness, and reaction to defeat

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

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