Proceedings of 9th International Business and Social Science Research Conference
6 - 8 January, 2014, Novotel World Trade Centre, Dubai, UAE, ISBN: 978-1-922069-41-2
Securities Transaction Tax and Market Quality: The Case of
France
Peter Gomber, Martin Haferkorn and Kai Zimmermann1
We study the French Securities Transaction Tax implementation of August
st
1 , 2012. Although a similar tax is planned to be introduced across 11
European countries, consequences for market quality are yet to be
thoroughly assessed. We show that liquidity demand and supply
significantly drop. Even though the French proposal exempts professional
liquidity provision, we find increased spreads and a declined order book
depth resulting in additional transaction costs for market participants
besides the tax. As all venues trading French stocks are affected, we
further find that STT threatens inter-market information transmission by
impairing price coordination among fragmented markets in Europe.
1
Chair of e-Finance, Goethe University, Frankfurt Faculty of Economics and Business Administration,
Grüneburgweg 1, 60323 Frankfurt am Main, Germany, Tel: +49 (69) 798-34683/33872/33857, Fax: +49 (69)
798-35007, Email: Gomber @wiwi.uni-frankfurt.de