不对称信息条件下资产交易税与市场效率——税收承担者不同有影响吗?

Securities Transaction Tax and Market Efficiency under Asymmetric Information:Does Different Tax Bearer Make any Difference?

本文在不对称信息的条件下构建了一个存在资产交易税时的理性预期均衡(REE)模型,说明了对不同的交易者征税会导致不同的市场效率。对买方征税与不存在资产交易税相比会降低风险资产均衡价格的波动性,对卖方征税相比对买卖双方分别征税提高了这种波动性。征税方向从买方转到卖方使得未来回报在给定价格条件下的方差更小,均衡价格所蕴含的信息量更大。实证检验结果也验证了上述结论。

This paper investigates the effects of different tax bearer on market efficiency with asymmetric information in a ratio- nal expectations equilibrium. We find that compared with no tax case, the volatility of equilibrium price decreases when tax is imposed on the purchasers. And the price volatility increases when tax is imposed on the sellers rather than on both sides. The change of the tax subject from buyer to seller makes the conditional variance of return smaller, and the equilibrium price con- tains more information. The above conclusions are supported by the empirical results.