证券交易印花税调整对我国股市波动性的影响分析.pdfVIP

摘 要 有关证券交易税收对证券市场波动性的影响，国内外学者存在着较大的分 歧。有的学者认为，课征证券交易税或提高证券交易税的税率能增加交易成本， 抑制投机，降低市场的波动性；反之，则刺激过度投机行为，扩大股市波动的 幅度。但是，也有的学者认为上述观点不一定成立。本文分别以我国沪深股票 市场数据 (A 股)为样本，以资本市场事件研究的方法，采用统计检验和 GARCH 模型对 2001 年以来我国证券印花税三次调整对股票市场波动性影响的方向和 程度进行实证研究，以此验证我国证券印花税税率调整作为调控证券市场的一 种政策手段，是否如证券监管部门所预期的那样发挥了强有力的调控效应，是 否对我国股票市场波动性产生显著的影响。最后在认真审视我国证券税收功能 缺陷的基础上，依据证券税制优化理论，借鉴国外证券税收制度建设经验，提 出完善我国证券税制的几点政策建议。 关键词：证券交易印花税 波动性 Levene 方差相等检验 GARCH 模型 I Abstract In the impact of securities transaction tax on stock market fluctuations, there are a lot of controversies between domestic and foreign scholars. Some scholars believe that levying securities transaction tax or raising the tax rate will increase transaction costs, curb speculation, and reduce market volatility, and vice versa. However, some scholars believe that does not always stand up. This paper takes Shanghai and Shenzhen stock market data as sample, adopting event study method, using GARCH model, empirically studies the direction and extent of the volatility influence deduced by the three adjustments in securities market stamp duty since 2001 in China. As a result, this paper tries to testify that, as a control policy, securities market stamp duty adjustment, whether it is strongly effective just as the regulatory departments expected, whether it has remarkable impact on stock market volatility in China. In the last, after taking a serious look at the malfunction of Chinas securities tax, and adopting securities tax system optimization theory, and referring foreign securities tax system-building experience, this paper provides several policy suggestions on improving Chinas securities tax system. Key Words: Stamp Duty for Sec