交易成本对股票价格的影响研究——基于深圳股票市场的经验研究

On the Effect of Transaction Costs on the Stock Price ——A Positive Study Based on the Adjustment of Stamp Tax in Shenzhen Stock Market

本文利用Umlauf(1993) 方法和事件研究法, 研究了证券印花税变化对深市大盘指数以及单只股票的影响, 证明了印花税税率下调会提高股票价格指数水平, 得到一个显著的正收益率, 而上调会降低股票价格指数水平, 得到一个显著的负收益率这一结论。表明了印花税可以作为一种调控证券市场的宏观政策工具, 并且为这种政策调控提供了一定的数量指导。

Using event study,We analyze the effect on stock price index and individual stock caused by adjustment of stamp tax,and we prove that decrease of stamp tax may raise stock price index,and leads to a distinct positive rate of return;while increase of stamp tax may lower stock price index,and leads to a distinct negative rate of retrn.Therefore stamp tax is proven to be an useful macro political instrument,and We provide some mathem atical guidance for its control.