Estadísticas › Activa, pasiva y flujos › The French FTT
Four studies of the French transaction tax put the volume loss between 10% and 29% and disagree on volatility
| Estudio | Volume | Spreads | Volatilidad |
|---|---|---|---|
| Colliard and Hoffmann, ECB WP 2030 | -10%, t = -2.47 | Unchanged | Unchanged overall, up where no exempt market maker |
| Capelle-Blancard and Havrylchyk, 2014 | -19% to -29%, all at 1% | Up 0.0232, 1% | No effect on any of five measures |
| Becchetti, Ferrari and Trenta, 2013 | -37% to -52% | Up 0.003, 1% at 45 days and beyond | Down, -0.005 to -0.006, 1% |
| Coelho, 2014 | About -24%, or about -10% at two months | Italian OTC spreads fell about 6bp | No notable effect on exchange measures |
All four are difference in differences designs around 1 August 2012 with different control groups and windows. Becchetti and co-authors report coefficients on log volumes of -0.522 to -0.369 across horizons of 15 to 90 trading days. Coelho's regression tables were not present in the file that was opened, so those magnitudes carry no significance statistic here.
France taxed purchases of large French shares at 20 basis points from August 2012. Published difference in differences estimates of the volume effect range from about 10% to about 29%, and the three studies that measure volatility find it up, down and unchanged.
Solo para miembros
El resto de esta página es para miembros
Below this point there are 5 sections and 4 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.
Puedes seguir consultando todas las estadísticas de la biblioteca gratis. La introducción y el resumen están siempre abiertos.