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交易成本对我国股票市场价格波动性的影响分析 被引量:8

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摘要 本文以我国沪深两市的数据为样本,采用单因素方差分析、GARCH模型对印花税调整对股票市场波动性的影响进行了实证研究,实证结果表明,印花税的提高会对市场收益率波动性产生明显影响,而印花税的降低对市场收益率波动性影响则不显著。
作者 王聪 李道叶
出处 《南方金融》 北大核心 2007年第11期47-49,共3页 South China Finance
基金 本文受暨南大学博士学位论文创新项目资助。
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