commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price … effects. In addition, we consider measures for long-run volatility and first-order autocorrelation that have not been explored … both in line with liquidity clientele effects. Finally, we find weak evidence for a persistent volatility reduction but no …