印花税调整对我国股市的影响分析

为了从数量上直观得了解印花税调整对我国股市的影响,本文从流动性与波动性的角度出发,分别通过非参数事件的研究方法及杠杆随机波动模型建模,分析了印花税调整前后股市的流动性与波动性的变化情况。实证结果表明:流动性方面,印花税的调高显著降低了股市的流动性,但印花税调低在短期内增加股市流动性,长期效果不显著;波动性方面,印花税的调低增强了股市的波动性,同时削弱了股市的杠杆效应,反之则相反。

To efficiently analyze the influence of stamp tax by numerical results, non-parametric method and nonlinear stochastic volatility model with leverage effect are used to model the returns before and after the stamp tax changing days. Evidence shows that reducing of the stamp tax rate decrease the Liquidity and leverage effect and increase the volatility.