印花税调整政策对股票市场效率的影响分析

Analysis of Stamp Duty Adjustment Policy's Effect on Stock Market Efficiency

本文立足于市场效率的视角探索印花税调整政策对我国股票市场的影响,通过基于随机游走的弱式效率分析方法考察印花税政策调整公告前后市场的效率特征,建立包含时间开关变量的GARCH模型探究政策公告前后市场效率结构的变化,运用带有滑动窗的方差比检验方法进一步分析市场效率的演进路径。结果显示,印花税调整政策公告会引起市场效率结构的显著改变,政策调整公告后的短期内会出现显著的市场效率提升,然而公告前却会出现市场效率的较大降低.

This article investigates the effect of the stamp tax ratio change on stock market at the angle of information efficiency. We study market efficiency features before and after the announcement of stamp duty adjustment policy based on the random walk analysis methods of weak-form efficiency, establish a time switching GARCH model to explore the efficiency changes in the structure before and after the policy announcement, and analyze the evolution path of market efficiency using the variance ratio test method with a sliding window. The results show that the announcement of stamp duty adjustment policy will cause significant structural changes in the market. There will be significantly improved market efficiency after the announcement within a short time interval; however, it will appear larger to reduce market efficiency before the announcement.