Three essays on regulation and taxation of stocks and derivatives.

Summary The last decade has been marked by several new regulations in response to the financial crisis of 2007-2008. In order to contribute to the debate, this thesis consists of three chapters that address different aspects of the regulation of the stock and derivatives markets. The first chapter provides a clear assessment of the impact of increasing the KOSPI 200 option multiplier on investor participation and market efficiency for the period 2011-2013. We use two measures of market efficiency: the participation share of noise traders and asymmetric volatility. Along the same lines, Chapter 2 examines the impact of the capital gains tax (CGT) on the quality and efficiency of the KOSPI 200 options market. We use various measures of market liquidity: trading volume, trading value, and the bid-ask spread over the period August 2015 to December 2016. The third chapter assesses the impact of the French financial transaction tax (STT) on market liquidity and volatility. Unlike previous studies, the format of the French STT allows us to test its effect over a longer period 2012-2019.