Study – The impact of the French financial transaction tax on high frequency trading activities and market quality

Study – The impact of the French financial transaction tax on high frequency trading activities and market quality
Researchers Iryna Veryzhenko, Etienne Harb and Wael Louhichi analyze the impact of the French high-frequency trading transaction tax on market quality measured by market liquidity and volatility. It finds that the introduction of cancel order tax reduces only slightly HFT activities, but it significantly affects market liquidity, increases market volatility and deteriorates the market efficiency.