Greens senator Peter Whish-Wilson has joined calls for an investigation into the leaking of plans for a levy on Australia's biggest banks, saying it is possible insider trading took place.

It comes as the Australian Federal Police has confirmed it is looking into the leak of the federal budget measure.

The big four banks and Maquarie, who will pay the $6.2 billion levy, have insisted they knew nothing about the policy until they received a confidential briefing from Treasury about an hour before the budget was revealed, after the ASX closed on Tuesday.

But media reports on the levy started to surface Monday night and detailed reports quoting "banking sources" were published at midday Tuesday, triggering a $14 billion bank stock wipe-out.