摘要
随着我国证券市场的日臻完善和对外开放步伐的加快 ,金融监管当局的政策工具的有效性问题也将越来越得到重视。从制度经济学的角度出发 ,交易费用的大小和调整将给整个制度本身带来多层次的影响。从证券市场的角度出发 ,我国目前推行的印花税及佣金制度实际上就是证券交易费用的最直接体现。通过比较发现 ,印花税调整较佣金调整更灵活且利益更集中 ,因此研究印花税调整对我国证券市场的波动性影响就更有意义。本文分别以我国沪深市场数据 (A股和B股 )为样本 ,采用统计检验、事件研究和GARCH模型对该问题进行实证研究 ,实证结果表明 ,印花税调整对市场的综合收益波动性的影响和对A股市场收益波动性的影响大体一致 ,这与我国证券市场以A股市场为主相一致。具体来说 ,印花税上调会导致市场收益波动性的提高 ,印花税下调会导致市场收益波动性的降低。因此 ,为降低市场波动性和噪声波动性 ,政府应进一步下调印花税税率 ,以促进市场效率。
With the quick development of China's secretaries market, the validity of instrument has been more and more important. From the system economy, the fees of transaction can do a lot to the whole system. Among this, the stamp duty and the fees of intermediary have the most important status. But as stamp duty adjustment is easier, we should think it more important. This paper researched the data of China's securities market and gave out the conclusion: the influence of stamp duty adjustment on the market's yield has the resemblance with A stock market, so A stock market could be seen as the main body of China's securities market. Finally, the increase or decrease of stamp duty can change the fluctuation of China's stock market, so the government should do some jobs to improve the market efficiency.
出处
《金融研究》
CSSCI
北大核心
2003年第6期38-45,共8页
Journal of Financial Research
