We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading...

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...

We develop a multivariate return and trading volume model, where each stock's system is driven by latent information arrivals in continuous time. The arrivals contain idiosyncratic and cross-relevant information, which provides both return and trading volume dependence. Conditional on the...