Financial Transaction Taxes, Market Composition, and Liquidity

• 成果类型: Article
• 署名作者: Colliard, Jean-Edouard; Hoffmann, Peter
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; European Central Bank
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12510
• 发表日期: 2017
• 页码: 2685-2716
• 关键词: PRICE VOLATILITY; stock-market; BEHAVIOR; COSTS; equilibrium; investors; policies; MODEL

摘要

We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity and in turn market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-term investors. Finally, we find that moderate aggregate effects on market quality can mask large adjustments made by individual agents.