印花税对证券市场波动性影响的不对称性研究  

The Asymmetric Effects of Stamp Tax on the Market Volatility——the theoretical and empirical study based on behavioral finance model

作　　者：刘红忠[1] 郁阳秋[2] 

机构地区：[1]复旦大学金融研究院 [2]复旦大学国际金融系

出　　处：《税务研究》2007年第11期16-21,共6页

基　　金：国家自然科学基金"公开信息冲击下的投资者交易策略高阶期望模型及实证研究"(70671027)资助

摘　　要：本文利用均值方差效用函数,构建了一个包含理性交易者和噪声交易者的两期的行为金融模型,将印花税税率引入噪声交易者预期,从理论上探讨了印花税税率水平及其调整对证券市场波动性的两种不对称影响,并对我国1990年以来的六次印花税调整进行了实证检验。By means of mean-variance utility function, the paper has set up a two-period behavioral finance model including rational traders and noise traders. The conclusion is that there are two kinds of asymmetric effects of stamp tax on the volatility： （1） the highest volatility is connected to a medium-level stamp tax, while the lowest volatility lies in low and high stamp tax levels; （2） both the hike and cut of stamp tax will result in higher volatility, but the volatility is much higher when a hike occurs. Then our empirical test of the above two hypotheses using Chinese data between 1990 and 2007 led to positive results.

关 键 词：行为金融 证券交易印花税 市场波动性 不对称性 

分 类 号：F812.42[经济管理—财政学] F832.51F224