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                <term xml:lang="fr">liquidité</term>
                <term xml:lang="fr">volatilité</term>
                <term xml:lang="fr">Taxe Tobin</term>
                <term xml:lang="fr">Taxe sur les transactions financières</term>
                <term xml:lang="fr">Euronext</term>
                <term xml:lang="fr">liquidity</term>
                <term xml:lang="fr">Tobin tax</term>
                <term xml:lang="fr">volatility</term>
                <term xml:lang="fr">securities transaction tax</term>
                <term xml:lang="fr">Financial transaction tax</term>
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              <p>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.</p>
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              <p>Dans cet article, nous évaluons l'impact de la taxe sur les transactions financières (TTF), introduite en France en 2012, sur la liquidité et la volatilité des actions. Cette taxe se prête particulièrement bien à une étude d'impact dans la mesure où seules les grandes entreprises qui ont leur siège social en France sont taxées, permettant ainsi d'identifier deux groupes de contrôle : les autres entreprises françaises et les entreprises étrangères, toutes cotées sur Euronext. Nous utilisons la méthode des doubles-différences pour isoler l'impact de la taxe d'autres changements économiques survens simultanément. Il en ressort que la TTF a réduit les volumes de transaction, mais sans que cela n'ait d'effet sur la liquidité. Nous ne décelons, en outre, aucun effet sur la volatilité. Ces résultats sont robustes même en utilisant d'autres groupes de contrôle (les actions allemandes) ou en appliquant une méthode d'appariement sur les scores de propension.</p>
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