资本利得税对股票收益波动影响的模型分析

An Analysis on the Model for the Impact of Capital Earnings Tax on Revenue Fluctuation

资本利得税是我国目前资本市场普遍关心的热点问题之一。通过构建一个无期限的动态规划模型,研究资本利得税税率与股票收益波动,股利支付率和股票价格之间的关系。研究结果表明,股票收益的条件方差与资本利得税税率成反比。在其他条件相同的情况下,高股利支付率的股票价格较高。资本利得税税率的变化对股利支付率不同的股票波动率有不同的影响,低股利支付率的股票波动对资本利得税税率的变化更为敏感。

Capital earnings tax is one of the hot issues universally concerned in capital market at present. By constructing a dynamic planning model with no maturity, research is made on the relationship between capital earnings tax rate and stock revenue fluctuation, between dividend payment ratio and stock price. The study conclusion suggests that the conditional variance of stock revenue is inversely proportional to capital earnings tax rate. In the circumstances with the same other conditions, the stock price with high dividend payment ratio is rather high. The change of capital earnings tax rate has different impact on the stock fluctuation ratio with distinct dividend payment ratio. The stock fluctuation with low dividend payment ratio is more sensitive to the change of capital earnings tax rate.