Ahmad Chokor

Composition of the Jury

Abstract

In the wake of the financial crises of recent decades—and in particular the 2008 subprime crisis—the need to reform financial markets has been the subject of extensive academic debate. This dissertation consists of three essays examining the impact of financial regulations on the quality of financial markets as well as on the returns on financial assets. The first study aims to analyze the impact of the implementation of the French financial transaction tax on various indicators of market quality. More specifically, we examine the extent to which the implementation of this tax affects the informational efficiency of stock prices. We show that this tax has delayed the process by which information is incorporated into the prices of taxed financial securities. The second study examines the impact of the European Commission’s proposal for a Common Financial Transaction Tax (FTT) in Europe—announced on September 28, 2011—on European stock markets. We first analyze the reaction of stock markets to events that increase the probability of the FTT’s adoption in Europe. Our empirical study shows that these events had a negative effect on stock market returns. We also establish that certain firm-specific characteristics account for cross-sectional variations in the response of stock returns to regulatory events. Finally, our last study examines the impact of events that increase the probability of regulatory adoption on the cryptocurrency market. To assess how cryptocurrency traders perceive market regulation, we use an event study methodology. We analyze the short- and longer-term impact of regulatory events on cryptocurrency returns. Our results show that these regulatory events had a negative impact on cryptocurrency returns, indicating that investors reacted negatively to the potential adoption of cryptocurrency market regulations. The conceptual and empirical findings of this thesis contribute to the existing literature on financial market regulation and are also useful for policymakers and investors.