证券交易印花税对股市波动性影响的实证研究

Study on Impact of Stamp Tax on Security Exchange on Stock Price Volatility

证券交易印花税税率的调整对股市产生的影响一直存在着广泛的争议。本文选取了最近三次我国证券交易印花税的调整(2007年5月30日上调、2008年4月24日下调和2008年9月19日双向征收改为单边征收),采用统计方法和计量方法,考察了印花税调整对股价指数波动的影响。结果表明,税率上调会引起股价指数的显著波动,但税率下调对股价指数的影响并不显著。基于上述分析研究,提出相应政策建议。首先,维持税率稳定,多种调控措施相结合;其次,进一步完善税制,实行"宽税基,低税率"的政策。

Stamp the trading duty upon securities transactions for the stock market is a specialized tax directed against of securities. In this paper, we choose last three adjustments of stamp duty on stock transactions in China （ raised in 2007.5.30, reduced in 2008.4.24, collected from the sellers only since 2008. 9.19） ,using statistics and quantitative methods,to test the impact of stamp duty adjustment on the stock market volatility. The results show that the rate increase will cause significant fluctuations in stock index, but lowered the impact is not significant. As to the analysis above, we propose policy decisions as follows. First, maintain tax rates stability, coordinate several variants of adjustment and control measures; Second, optimize the structure of tax system,follow the policy ＂Wide Tax Base, Low Tax Rate＂.