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on Market Microstructure |
| By: | Gunther Capelle-Blancard (Centre d'Economie de la Sorbonne - Paris School of Economics); Olena Havrylchyk (Université Paris Ouest Nanterre et CEPII) |
| Abstract: | 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 occuring 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), analyze dynamic effects or construct a control group by propensity score matching. |
| Keywords: | Financial transaction tax, securities transaction tax, Tobin tax, volatility, liquidity, Euronext. |
| JEL: | G21 H25 |
| Date: | 2013–12 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:13085&r=mst |
| By: | Boortz, Christopher K.; Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter |
| Abstract: | This paper sheds new light on the impact of information risk and market stress on herding of institutional traders from both, a theoretical and an empirical perspective. Using numerical simulations of a herd model, we show that buy and sell herding intensity should increase with information risk. Market stress should affect herding asymmetrically: while there is more sell herding when the market becomes more pessimistic and more uncertain, buy herding intensity should decrease. We test these predictions using intra-day herding measures based on high-frequent, investor-specific trading data of all institutional investors in the German stock market. The evidence provides strong support for an increasing effect of information risk on herding intensity on an intra-day basis. However, in contrast to the simulation results empirical herding measures indicate that buy herding has even slightly increased, not decreased, during the recent crisis period. -- |
| JEL: | G11 G24 C23 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc13:79728&r=mst |
| By: | Gunther CAPELLE-BLANCARD; HAVRYLCHYK, Olena |
| Abstract: | 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 of which are 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 the DAX and MDAX indexes), analyze dynamic effects, or construct a control group by propensity score matching. |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:14007&r=mst |
| By: | Strohsal, Till; Weber, Enzo |
| Abstract: | In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where structural ARCH-type variances serve two purposes: governing the time variation of spillovers and ensuring statistical identification. The model is applied to data of US and further stock markets. Indeed, we find strong nonlinear, volatility-dependent effects. -- |
| JEL: | G15 C32 C58 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc13:79903&r=mst |