证券交易税对市场波动性的影响:来自中国股市的证据

本文运用ARCH族模型检验了2001年股票交易印花税税率降低对沪、深股市波动性的影响,为有关证券交易税对市场波动性影响的讨论增添了一个来自新兴市场的证据。计量结果表明,该次税率变动对沪市波动性的影响在统计上是不显著的;深市的波动性在税率降低后虽然有统计上显著的增加,但是这个变化太小,没有实际意义。我们的研究结果表明,对于像中国股市这类市场结构和市场制度处于变化之中的新兴市场,如果试图通过调整证券交易税税率这类显性的交易成本来影响市场波动性,其效果是有限的。

The Influence of Securities Transaction Taxes on Market Volatility: Evidence from China's Stock Market

In this paper, we make use of ARCH models to examine whether the decrease of stock transaction stamp duty influenced the volatility of Shanghai and Shenzhen stock markets in the year of 2001.We find that the volatility of Shanghai stock market was not significantly influenced statistically.The case of Shenzhen stock market was contrary to that of Shanghai market.However, the change of volatility of Shenzhen market was very small, which was economically insignificant.Our research indicates that the effect of adjusting transaction cost like securities transaction tax on market volatility is limited for a emerging stock market such as China's stock market.