印花税政策调整对市场反应影响研究

The Effects of Stamp Tax Changes on Stock Markets in China

文章使用中国A股市场的日数据检验了印花税税率的调整对市场流动性、市场的波动和股票异常收益率的影响。实证的结果表明,印花税税率的变化和市场流动性呈反向关系,但并不总是如此。与一般认知不同的是,无论印花税税率的增加还是减少都不会引起市场波动加剧。相应的,股票异常收益率对对印花税税率的变化也并不总是敏感的。基于上述实证结果,文章认为印花税并不是调控证券市场的有效政策工具。

Using daily data from A-share markets in Shanghai and Shenzhen,this paper examines the effects of stamp tax changes on market liquidity and volatility,as well as the abnormal return.The empirical results show that the market liquidity would decrease with an increase of stamp tax rate,but that is not always so significant.On the contrary to usual cogitation,market volatility is independent on stamp tax changes,which do not always lead to a significant difference to abnormal return of individual share.Based on that,the result shows that stamp tax is not an effective policy tool to regulate the stock market.