证券印花税调整对股市流动性及波动性影响的实证分析

A Quantity Research of the Impact of the Adjustment of Stamp Duty Rate for Liquidities and Volatilities on the Chinese Securities Markets

证券交易税是以有价证券的交易行为为课税对象的一类税种,自90年深圳开征印花税以来,股票交易印花税通常被当作宏观调控股市的一项直接政策工具,所以证券印花税调整对股市影响的定量研究有现实意义。本文针对我国印花税的7次调整,分别对上证A股、B股进行了实证研究。首先选取了印花税调整前后10、30、60天的大盘信息,对股市的流动性进行研究;然后以印花税调整点前后60天的上证综合指数作为研究对象,建立ARMA、ARCH模型定量研究印花税的调整对股市的影响,研究结论:印花税的上调对股市流动性及波动性的影响大于下调所造成的影响。

Securities transaction tax is one of the taxes which charge on the transaction of negotiable securities.It has been used as an immediate political instrument to macro-control the securities markets since Chinese Shenzhen stock market initiated to impose it in 1990.Therefore,it is practically significant to analyze the impact of the adjustment of stamp duty rate for securities transaction.By means of setting up the ARMA models and ARCH models based on the indexes that are 60 days earlier or later than the adjusted date,the paper has focused on the seven adjustments of stamp duty rate of Chinese Shanghai stock market and empirically analyzed the composite indexes of A-shares and B-shares around the rectification separately.The conclusion is that the volatilities of Chinese Shanghai share index returns will change more notably when the tax rate is raised than the volatilities when the tax rate is declined.