差异化红利税真的能抑制投机吗

Does differentiated dividend tax policy really curb speculating

差异化征收红利税是我国资本市场制度建设的新尝试。为了研究差异化红利税的政策效果,本文选取2005年6月14日-2014年8月13日期间A股市场发生的7927次纯现金分红作为样本,采用事件研究法和回归分析,发现:(1)政策实施后,除息日异常收益率显著增大,投资者对现金分红的偏好减弱,实际红利税负加重;(2)除息日前后的异常交易量显著增大;(3)股价波动率显著增大。差异化红利税政策没有起到抑制投机的作用。

Differentiated dividend tax policy is an innovation of Chinese capital market institution construction. In order to study the effect of differentiated dividend tax, we employ the event study method and regression analysis, basing upon 7927 pure cash dividend events in the A - share market between June 14th, 2005 and August 13th, 2014, find that （1） after implementation of the policy, the abnormal return on the ex - day significantly increases, investors＇ preference for cash dividend is weakened and the real dividend tax burden increases; （2） the abnormal trading volume around the ex -day significantly increases; （3） the stock return volatility around the ex -day significantly increases. In conclusion, differentiated dividend tax policy doesn＇t curb speculating.