Y. Amihud and H. Mendelson, Asset pricing and the bid-ask spread, Journal of financial Economics, vol.17, issue.2, pp.223-249, 1986.

J. Anthony, M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, Financial transaction tax: review and assessment. CPB Netherlands Bureau For Economic Policy Analysis, 2012.

M. Avellaneda and S. Stoikov, High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.

H. Bessembinder, Trading costs and return volatility: evidence from exchange listings, 2002.

C. J. Bjursell, G. H. Wang, and J. Yau, Transaction tax and market quality of us futures markets: An ex-ante analysisi, Journal of future markets, p.26, 2006.

P. P. Boyle and T. Vorst, Option replication in discrete time with transaction costs, The Journal of Finance, vol.47, issue.1, pp.271-293, 1992.

M. J. Brennan and A. Subrahmanyam, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of financial economics, vol.41, issue.3, pp.441-464, 1996.

J. Y. Campbell and K. A. Froot, International experiences with securities transaction taxes, The internationalization of equity markets, pp.277-308, 1994.

G. Capelle-blancard and O. Havrylchyk, The impact of the french securities transaction tax on market liquidity and volatility, International Review of Financial Analysis, vol.47, pp.166-178, 2016.
URL : https://hal.archives-ouvertes.fr/hal-01441775

J. Colliard and P. Hoffmann, Financial transaction taxes, market composition, and liquidity, The Journal of Finance, vol.72, issue.6, pp.2685-2716, 2017.

K. Habermeier and A. A. Kirilenko, Securities transaction taxes and financial markets, IMF Staff Papers, Special Issue International Monetary Fund, vol.50, issue.1, pp.165-180, 2003.
DOI : 10.5089/9781451847116.001

C. S. Hakkio, Should we throw sand in the gears of financial markets?, Economic Review, vol.79, pp.17-30, 1994.

H. Hau, The role of transaction costs for financial volatility: Evidence from the paris bourse, Journal of the European Economic Association, vol.4, issue.4, pp.862-890, 2006.

M. Hawkins and J. Mccrae, Stamp duty on share transactions: is there a case for change? Institute For Fiscal Studies, 2002.

C. M. Jones and P. J. Seguin, Transaction costs and price volatility: evidence from commission deregulation, The American Economic Review, vol.87, issue.4, pp.728-737, 1997.

J. Keynes, The General Theory of Employment, Interest and Money, 1936.

P. Kupiec, Noise traders, excess volatility, and a securities transaction tax, Journal of Financial Services Reseach, vol.10, issue.2, pp.115-129, 1996.
DOI : 10.1007/bf00115671

H. Leland, Option pricing and replication with transaction costs, The Journal of Finance, vol.40, pp.1283-1301, 1985.

J. Lendvai, R. Raciborski, and V. L. , Securities transaction taxes: Macroeconomic implications in a general equilibrium model, European Economy: Economic Papers, issue.450, 2012.

A. W. Lo, H. Mamaysky, W. , and J. , Asset prices and trading volume under fixed transactions costs, Journal of Political Economy, vol.112, issue.5, pp.1054-1090, 2004.
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M. T. Matheson, Taxing financial transactions: Issues and evidence, Special Issue. IMF Staff Papers, vol.3, 2003.
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F. Modigliani and M. H. Miller, The cost of capital, corporation finance and the theory of investment, The American economic review, vol.48, issue.3, pp.261-297, 1958.

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R. Roll, Price volatility, international market links, and their implications for regulatory policies, Regulatory Reform of Stock and Futures Markets, pp.113-148, 1989.
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V. Saporta and K. Kan, The effects of stamp duty on the level and volatility of equity prices, 1997.

G. W. Schwert and P. J. Seguin, Securities transaction taxes: an overview of costs, benefits and unresolved questions, Financial Analysts Journal, vol.49, issue.5, pp.27-35, 1993.

F. M. Song and J. Zhang, Securities transaction tax and market volatility, The Economic Journal, vol.115, issue.506, pp.1103-1120, 2005.
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J. Tobin, A proposal for international monetary reform, Eastern economic journal, vol.4, issue.3/4, pp.153-159, 1978.

S. R. Umlauf, Transaction taxes and the behavior of the swedish stock market, Journal of Financial Economics, vol.33, issue.2, pp.227-240, 1993.

P. Westerholm, The impact of transaction costs on turnover, asset prices and volatility: the cases of sweden's and finland's security transaction tax reductions, Liiketaloudellinen Aikakauskirja, pp.213-241, 2003.

P. Allen, S. Einchcomb, and N. Granger, Investment strategies, JP Morgan-European Equity Derivatives Research, issue.28, 2006.

R. Almgren and N. Chriss, Optimal execution of portfolio transactions, Journal of Risk, vol.3, pp.5-40, 2001.

E. I. Altman, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The journal of finance, vol.23, issue.4, pp.589-609, 1968.

Y. Amihud and H. Mendelson, Asset pricing and the bid-ask spread, Journal of financial Economics, vol.17, issue.2, pp.223-249, 1986.

Y. Amihud and H. Mendelson, Liquidity, asset prices and financial policy, Financial Analysts Journal, vol.47, issue.6, pp.56-66, 1991.

J. Anthony, M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, Financial transaction tax: review and assessment. CPB Netherlands Bureau For Economic Policy Analysis, 2012.

M. Avellaneda and S. Stoikov, High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.

H. Bessembinder, Trading costs and return volatility: evidence from exchange listings, 2002.

C. J. Bjursell, G. H. Wang, and J. Yau, Transaction tax and market quality of us futures markets: An ex-ante analysisi, Journal of future markets, p.26, 2006.

F. Black and J. C. Cox, Valuing corporate securities: Some effects of bond indenture provisions, The Journal of Finance, vol.31, issue.2, pp.351-367, 1976.

F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of political economy, vol.81, issue.3, pp.637-654, 1973.

P. P. Boyle and T. Vorst, Option replication in discrete time with transaction costs, The Journal of Finance, vol.47, issue.1, pp.271-293, 1992.

M. J. Brennan and A. Subrahmanyam, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of financial economics, vol.41, issue.3, pp.441-464, 1996.

J. Y. Campbell and K. A. Froot, International experiences with securities transaction taxes, The internationalization of equity markets, pp.277-308, 1994.

G. Capelle-blancard and O. Havrylchyk, The impact of the french securities transaction tax on market liquidity and volatility, International Review of Financial Analysis, vol.47, pp.166-178, 2016.
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V. Finkelstein and J. Lardy, Assessing default probabilities from equity markets. simple closed-form solution. Presentation ICBI Global Derivatives and Risk Management, 2001.

V. Finkelstein, J. Lardy, G. Pan, T. Ta, T. et al., Credit grades technical document, 2002.

K. Habermeier and A. A. Kirilenko, Securities transaction taxes and financial markets, IMF Staff Papers, Special Issue International Monetary Fund, vol.50, issue.1, pp.165-180, 2003.

C. S. Hakkio, Should we throw sand in the gears of financial markets?, Economic Review, vol.79, pp.17-30, 1994.

H. Hau, The role of transaction costs for financial volatility: Evidence from the paris bourse, Journal of the European Economic Association, vol.4, issue.4, pp.862-890, 2006.

M. Hawkins and J. Mccrae, Stamp duty on share transactions: is there a case for change? Institute For Fiscal Studies, 2002.

T. Ho and H. R. Stoll, On dealer markets under competition, The Journal of Finance, vol.35, issue.2, pp.259-267, 1980.

T. S. Ho and R. G. Macris, Dealer bid-ask quotes and transaction prices: An empirical study of some amex options, The Journal of Finance, vol.39, issue.1, pp.23-45, 1984.

R. A. Jarrow and S. M. Turnbull, Pricing derivatives on financial securities subject to credit risk. The journal of finance, vol.50, pp.53-85, 1995.

C. M. Jones and P. J. Seguin, Transaction costs and price volatility: evidence from commission deregulation, The American Economic Review, vol.87, issue.4, pp.728-737, 1997.

J. Keynes, The General Theory of Employment, Interest and Money, 1936.

P. Kupiec, Noise traders, excess volatility, and a securities transaction tax, Journal of Financial Services Reseach, vol.10, issue.2, pp.115-129, 1996.

J. Lardy, A simple closed-form formula to price credit, 2001.

H. Leland, Option pricing and replication with transaction costs, The Journal of Finance, vol.40, pp.1283-1301, 1985.

H. Leland, Corporate debt value, bond covenants, and optimal capital structure, The Journal of Finance, vol.49, pp.1213-1252, 1994.

H. Leland, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads. Finance working paper, 1994.

H. E. Leland, Comments on "hedging errors with leland's option model in the presence of transactions costs, Finance Research Letters, vol.4, issue.3, pp.200-202, 2007.

H. E. Leland and K. B. Toft, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads, The Journal of Finance, vol.51, issue.3, pp.987-1019, 1996.

J. Lendvai, R. Raciborski, and V. L. , Securities transaction taxes: Macroeconomic implications in a general equilibrium model, European Economy: Economic Papers, issue.450, 2012.

A. W. Lo, H. Mamaysky, W. , and J. , Asset prices and trading volume under fixed transactions costs, Journal of Political Economy, vol.112, issue.5, pp.1054-1090, 2004.

M. T. Matheson, Taxing financial transactions: Issues and evidence, Special Issue. IMF Staff Papers, vol.3, 2003.

F. Modigliani and M. H. Miller, The cost of capital, corporation finance and the theory of investment, The American economic review, vol.48, issue.3, pp.261-297, 1958.

J. H. Mulherin, Regulation, trading volume and stock market volatility. Revué economique, pp.923-937, 1990.

M. Musiela and M. Rutkowski, Martingale methods in financial modeling, Stochastic Modelling and Applied Probability, p.36, 1998.

. Oxera, Stamp duty: Its impact and the benefits of its abolition. Prepared for ABI, City of London Corporation, 2007.

. Oxera, What could be the economic impact of the proposed financial transaction tax? a comprehensive assessment of the potential macroeconomic impact, 2014.

R. Roll, Price volatility, international market links, and their implications for regulatory policies, Regulatory Reform of Stock and Futures Markets, pp.113-148, 1989.

M. Rubinstein and C. Reiner, Breaking down the barriers, Risk, vol.4, pp.28-35, 1991.

V. Saporta and K. Kan, The effects of stamp duty on the level and volatility of equity prices, 1997.

G. W. Schwert and P. J. Seguin, Securities transaction taxes: an overview of costs, benefits and unresolved questions, Financial Analysts Journal, vol.49, issue.5, pp.27-35, 1993.

F. M. Song and J. Zhang, Securities transaction tax and market volatility, The Economic Journal, vol.115, issue.506, pp.1103-1120, 2005.

J. E. Stiglitz, Using tax policy to curb speculative short-term trading, Journal of financial services research, vol.3, issue.2-3, pp.101-115, 1989.

L. H. Summers and V. P. Summers, When financial markets work too well: a cautious case for a securities transactions tax, Journal of financial services research, vol.3, issue.2-3, pp.261-286, 1989.

N. Taleb, Fooled by randomness: The hidden role of chance in life and in the markets, vol.1, 2005.

J. Tobin, A proposal for international monetary reform, Eastern economic journal, vol.4, issue.3/4, pp.153-159, 1978.

S. R. Umlauf, Transaction taxes and the behavior of the swedish stock market, Journal of Financial Economics, vol.33, issue.2, pp.227-240, 1993.

O. Vasicek, M. Kmv-(kealhofer, and . Vasicek, Structural models in credit valuation, 2012.

G. Wang and J. Yau, Would a financial transaction tax affect financial market activity? insights from future markets, Policy Analysis, issue.702, 2012.

P. Westerholm, The impact of transaction costs on turnover, asset prices and volatility: the cases of sweden's and finland's security transaction tax reductions, Liiketaloudellinen Aikakauskirja, pp.213-241, 2003.

P. Allen, S. Einchcomb, and N. Granger, Investment strategies, JP Morgan-European Equity Derivatives Research, issue.28, 2006.

R. Almgren and N. Chriss, Optimal execution of portfolio transactions, Journal of Risk, vol.3, pp.5-40, 2001.
DOI : 10.21314/jor.2001.041

E. I. Altman, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The journal of finance, vol.23, issue.4, pp.589-609, 1968.

Y. Amihud and H. Mendelson, Liquidity, asset prices and financial policy, Financial Analysts Journal, vol.47, issue.6, pp.56-66, 1991.
DOI : 10.2469/faj.v47.n6.56

J. Anthony, M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, Financial transaction tax: review and assessment. CPB Netherlands Bureau For Economic Policy Analysis, 2012.

M. Avellaneda and S. Stoikov, High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.

F. Black and J. C. Cox, Valuing corporate securities: Some effects of bond indenture provisions, The Journal of Finance, vol.31, issue.2, pp.351-367, 1976.

F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of political economy, vol.81, issue.3, pp.637-654, 1973.

P. P. Boyle and T. Vorst, Option replication in discrete time with transaction costs, The Journal of Finance, vol.47, issue.1, pp.271-293, 1992.

D. Duffie and K. J. Singleton, Modeling term structures of defaultable bonds. The review of financial studies, vol.12, pp.687-720, 1999.
DOI : 10.1093/rfs/12.4.687

V. Finkelstein, Assessing default probabilities from equity markets. Presentation, 2013.

V. Finkelstein and J. Lardy, Assessing default probabilities from equity markets. simple closed-form solution. Presentation ICBI Global Derivatives and Risk Management, 2001.

V. Finkelstein, J. Lardy, G. Pan, T. Ta, T. et al., Credit grades technical document, 2002.

K. Habermeier and A. A. Kirilenko, Securities transaction taxes and financial markets, IMF Staff Papers, Special Issue International Monetary Fund, vol.50, issue.1, pp.165-180, 2003.
DOI : 10.5089/9781451847116.001

C. S. Hakkio, Should we throw sand in the gears of financial markets?, Economic Review, vol.79, pp.17-30, 1994.

M. Hawkins and J. Mccrae, Stamp duty on share transactions: is there a case for change? Institute For Fiscal Studies, 2002.

T. Ho and H. R. Stoll, On dealer markets under competition, The Journal of Finance, vol.35, issue.2, pp.259-267, 1980.

T. S. Ho and R. G. Macris, Dealer bid-ask quotes and transaction prices: An empirical study of some amex options, The Journal of Finance, vol.39, issue.1, pp.23-45, 1984.

R. A. Jarrow and S. M. Turnbull, Pricing derivatives on financial securities subject to credit risk. The journal of finance, vol.50, pp.53-85, 1995.
DOI : 10.2307/2329239

P. Kupiec, Noise traders, excess volatility, and a securities transaction tax, Journal of Financial Services Reseach, vol.10, issue.2, pp.115-129, 1996.
DOI : 10.1007/bf00115671

J. Lardy, A simple closed-form formula to price credit, 2001.

H. Leland, Option pricing and replication with transaction costs, The Journal of Finance, vol.40, pp.1283-1301, 1985.

H. Leland, Corporate debt value, bond covenants, and optimal capital structure, The Journal of Finance, vol.49, pp.1213-1252, 1994.
DOI : 10.1142/9789814759595_0002

H. E. Leland, Comments on "hedging errors with leland's option model in the presence of transactions costs, Finance Research Letters, vol.4, issue.3, pp.200-202, 2007.

J. Lendvai, R. Raciborski, and L. Vogel, Securities transaction taxes: Macroeconomic implications in a general equilibrium model, European Economy: Economic Papers, issue.450, 2012.

M. T. Matheson, Taxing financial transactions: Issues and evidence, Special Issue. IMF Staff Papers, vol.3, 2003.
DOI : 10.5089/9781455220984.001

F. Modigliani and M. H. Miller, The cost of capital, corporation finance and the theory of investment, The American economic review, vol.48, issue.3, pp.261-297, 1958.

M. Musiela and M. Rutkowski, Martingale methods in financial modeling, Stochastic Modelling and Applied Probability, p.36, 1998.

. Oxera, Stamp duty: Its impact and the benefits of its abolition. Prepared for ABI, City of London Corporation, 2007.

. Oxera, What could be the economic impact of the proposed financial transaction tax? a comprehensive assessment of the potential macroeconomic impact, 2014.

M. Rubinstein and C. Reiner, Breaking down the barriers, Risk, vol.4, pp.28-35, 1991.

V. Saporta and K. Kan, The effects of stamp duty on the level and volatility of equity prices, 1997.

G. W. Schwert and P. J. Seguin, Securities transaction taxes: an overview of costs, benefits and unresolved questions, Financial Analysts Journal, vol.49, issue.5, pp.27-35, 1993.

N. Taleb, Fooled by randomness: The hidden role of chance in life and in the markets, vol.1, 2005.

S. R. Umlauf, Transaction taxes and the behavior of the swedish stock market, Journal of Financial Economics, vol.33, issue.2, pp.227-240, 1993.

O. Vasicek, M. Kmv-(kealhofer, and . Vasicek, Structural models in credit valuation, 2012.

P. Allen, S. Einchcomb, and N. Granger, JP Morgan-European Equity Derivatives Strategy, 2006.

R. Almgren and N. Chriss, Optimal execution of portfolio transactions, Journal of Risk, vol.3, pp.5-40, 2001.

E. I. Altman, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The journal of finance, vol.23, issue.4, pp.589-609, 1968.

Y. Amihud and H. Mendelson, Asset pricing and the bid-ask spread, Journal of financial Economics, vol.17, issue.2, pp.223-249, 1986.

Y. Amihud and H. Mendelson, Liquidity, asset prices and financial policy, Financial Analysts Journal, vol.47, issue.6, pp.56-66, 1991.

J. Anthony, M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, Financial transaction tax: review and assessment. CPB Netherlands Bureau For Economic Policy Analysis, 2012.

M. Avellaneda, J. Reed, and S. Stoikov, Forecasting prices from level-i quotes in the presence of hidden liquidity, vol.1, pp.35-43, 2011.

M. Avellaneda and S. Stoikov, High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.

H. Bessembinder, Trading costs and return volatility: evidence from exchange listings, 2002.

C. J. Bjursell, G. H. Wang, and J. Yau, Transaction tax and market quality of us futures markets: An ex-ante analysisi, Journal of future markets, p.26, 2006.

F. Black and J. C. Cox, Valuing corporate securities: Some effects of bond indenture provisions, The Journal of Finance, vol.31, issue.2, pp.351-367, 1976.

F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of political economy, vol.81, issue.3, pp.637-654, 1973.

P. P. Boyle and T. Vorst, Option replication in discrete time with transaction costs, The Journal of Finance, vol.47, issue.1, pp.271-293, 1992.

M. J. Brennan and A. Subrahmanyam, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of financial economics, vol.41, issue.3, pp.441-464, 1996.

J. Y. Campbell and K. A. Froot, International experiences with securities transaction taxes, The internationalization of equity markets, pp.277-308, 1994.

G. Capelle-blancard and O. Havrylchyk, The impact of the french securities transaction tax on market liquidity and volatility, International Review of Financial Analysis, vol.47, pp.166-178, 2016.
URL : https://hal.archives-ouvertes.fr/hal-01441775

D. Duffie and K. J. Singleton, Modeling term structures of defaultable bonds. The review of financial studies, vol.12, pp.687-720, 1999.

V. Finkelstein and J. Lardy, Assessing default probabilities from equity markets. simple closed-form solution. Presentation ICBI Global Derivatives and Risk Management, 2001.

V. Finkelstein, J. Lardy, G. Pan, T. Ta, T. et al., Credit grades technical document, 2002.

K. Habermeier and A. A. Kirilenko, Securities transaction taxes and financial markets, IMF Staff Papers, Special Issue International Monetary Fund, vol.50, issue.1, pp.165-180, 2003.

C. S. Hakkio, Should we throw sand in the gears of financial markets?, Economic Review, vol.79, pp.17-30, 1994.

H. Hau, The role of transaction costs for financial volatility: Evidence from the paris bourse, Journal of the European Economic Association, vol.4, issue.4, pp.862-890, 2006.

M. Hawkins and J. Mccrae, Stamp duty on share transactions: is there a case for change? Institute For Fiscal Studies, 2002.

T. Ho and H. R. Stoll, On dealer markets under competition, The Journal of Finance, vol.35, issue.2, pp.259-267, 1980.

T. S. Ho and R. G. Macris, Dealer bid-ask quotes and transaction prices: An empirical study of some amex options, The Journal of Finance, vol.39, issue.1, pp.23-45, 1984.

R. A. Jarrow and S. M. Turnbull, Pricing derivatives on financial securities subject to credit risk. The journal of finance, vol.50, pp.53-85, 1995.

C. M. Jones and P. J. Seguin, Transaction costs and price volatility: evidence from commission deregulation, The American Economic Review, vol.87, issue.4, pp.728-737, 1997.

J. Keynes, The General Theory of Employment, Interest and Money, 1936.

P. Kupiec, Noise traders, excess volatility, and a securities transaction tax, Journal of Financial Services Reseach, vol.10, issue.2, pp.115-129, 1996.

J. Lardy, A simple closed-form formula to price credit, 2001.

H. Leland, Option pricing and replication with transaction costs, The Journal of Finance, vol.40, pp.1283-1301, 1985.

H. Leland, Corporate debt value, bond covenants, and optimal capital structure, The Journal of Finance, vol.49, pp.1213-1252, 1994.

H. Leland, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads. Finance working paper, 1994.

H. E. Leland, Comments on "hedging errors with leland's option model in the presence of transactions costs, Finance Research Letters, vol.4, issue.3, pp.200-202, 2007.

H. E. Leland and K. B. Toft, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads, The Journal of Finance, vol.51, issue.3, pp.987-1019, 1996.

J. Lendvai, R. Raciborski, and V. L. , Securities transaction taxes: Macroeconomic implications in a general equilibrium model, European Economy: Economic Papers, issue.450, 2012.

A. W. Lo, H. Mamaysky, W. , and J. , Asset prices and trading volume under fixed transactions costs, Journal of Political Economy, vol.112, issue.5, pp.1054-1090, 2004.

M. T. Matheson, Taxing financial transactions: Issues and evidence. Number 11-54. IMF Staff Papers, 2011.

F. Modigliani and M. H. Miller, The cost of capital, corporation finance and the theory of investment, The American economic review, vol.48, issue.3, pp.261-297, 1958.

J. H. Mulherin, Regulation, trading volume and stock market volatility. Revué economique, pp.923-937, 1990.

M. Musiela and M. Rutkowski, Martingale methods in financial modeling, Stochastic Modelling and Applied Probability, p.36, 1998.

. Oxera, Stamp duty: Its impact and the benefits of its abolition, 2007.

. Oxera, What could be the economic impact of the proposed financial transaction tax? a comprehensive assessment of the potential macroeconomic impact, 2014.

R. Roll, Price volatility, international market links, and their implications for regulatory policies, Regulatory Reform of Stock and Futures Markets, pp.113-148, 1989.

M. Rubinstein and C. Reiner, Breaking down the barriers, Risk, vol.4, pp.28-35, 1991.

V. Saporta and K. Kan, The effects of stamp duty on the level and volatility of equity prices, 1997.

G. W. Schwert and P. J. Seguin, Securities transaction taxes: an overview of costs, benefits and unresolved questions, Financial Analysts Journal, vol.49, issue.5, pp.27-35, 1993.

F. M. Song and J. Zhang, Securities transaction tax and market volatility, The Economic Journal, vol.115, issue.506, pp.1103-1120, 2005.

J. E. Stiglitz, Using tax policy to curb speculative short-term trading, Journal of financial services research, vol.3, issue.2-3, pp.101-115, 1989.

L. H. Summers and V. P. Summers, When financial markets work too well: a cautious case for a securities transactions tax, Journal of financial services research, vol.3, issue.2-3, pp.261-286, 1989.

N. Taleb, Fooled by randomness: The hidden role of chance in life and in the markets, vol.1, 2005.

J. Tobin, A proposal for international monetary reform, Eastern economic journal, vol.4, issue.3/4, pp.153-159, 1978.

S. R. Umlauf, Transaction taxes and the behavior of the swedish stock market, Journal of Financial Economics, vol.33, issue.2, pp.227-240, 1993.

O. Vasicek, M. Kmv-(kealhofer, and . Vasicek, Structural models in credit valuation, 2012.

G. Wang and J. Yau, Would a financial transaction tax affect financial market activity? insights from future markets, Policy Analysis, issue.702, 2012.

Y. References-amihud and H. Mendelson, Liquidity, Asset Prices and Financial Policy, Financial Analysts Journal, vol.47, issue.6, pp.56-66, 1991.

J. Anthony, M. Bijlsma, A. Elbourne, M. Lever, and G. Zwart, Financial Transaction Tax: Review and Assessment. CPB Netherlands Bureau For Economic Policy Analysis, 2012.

M. Avellaneda and S. Stoikov, High Frequency Trading in a Limit Order Book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.

F. Black and J. Cox, Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, The Journal of Finance, vol.31, pp.351-367, 1976.

P. Boyle and T. Vorst, Option Replication in Discrete Time with Transaction Costs, The Journal of Finance, vol.47, pp.271-293, 1992.

V. Finkelstein, J. P. Lardy, G. Pan, T. Ta, and J. Tierney, Credit Grades Technical Document, RiskMetrics Group, 2002.

C. Hakkio, Should We Throw Sand in the Gears of Financial Markets?, Economic Review, vol.79, issue.2, pp.17-30, 1994.

M. Hawkins and J. Mccrae, Stamp Duty on Share Transactions: Is There A Case for Change?, In Institute For Fiscal Studies, vol.31, 2002.

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