印花税变动对股票波动率和换手率的影响--基于投机市场的分析  

The Effect of Stamp Duty on Stock Volatility and Turnover: Analysis Based on a Speculative Market

作　　者：李捷瑜[1] 朱惊萍[2] 

机构地区：[1]中山大学岭南学院,广东广州510275 [2]广东外语外贸大学,广东广州510420

出　　处：《国际经贸探索》2008年第2期68-72,共5页International Economics and Trade Research

摘　　要：运用残差为一阶自回归的随机效应模型,考察中国证券市场三次印花税调整对股票波动率和换手率的影响,结果发现以印花税作为政策工具,监管方并不能有效实现其目标。税率上调导致换手率降低,波动率中期增加、长期减少;税率下调则可能引起换手率、波动率增加,也可能引起两者减少。结合意见分歧投机泡沫理论,尝试给出合理解释。This paper uses a random effect model with AR（1） disturbance to explore the impact of the adjusted stamp duty on stock volatility and turnover. Results show stamp duty as policy instrument cannot realize its policy aim efficiently. Stamp duty increasing leads to turnover rate decreased, volatility increased in mid-term and decreased in long-term. Turnover rate and volatility may be decreased or increased with stamp duty decreased. It also tries to give a reasonable explanation by speculative bubble theory.

关 键 词：印花税 换手率 波动 投机 

分 类 号：F832.5[经济管理—金融学]