证券交易印花税与市场质量——来自中国证券市场的实证分析  

Securities Transaction Stamp Tax and Market Quality:Evidence from the China Stock Market

作　　者：郭彦峰[1] 黄登仕[1] 魏宇[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《数理统计与管理》2012年第5期915-929,共15页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助项目(70501025;70572089;70771097;71071131);教育部新世纪优秀人才支持计划(NCET-08-0826);教育部创新团队发展计划项目(PCSIRT0860);中央高校基本科研业务费专项资金资助项目(SWJTU09ZT32;SWJTU09CX088)

摘　　要：在证券市场监管中,证券交易印花税一直被视为一种重要的调节方式,但已有研究对证券交易印花税调整如何导致市场质量的改变并没有一致意见,我国证券市场次近两次印花税调整(一降一升),恰好提供了探讨这个问题的"自然实验"机会。通过事件研究法,发现印花税上调后,市场的流动性减少,市场的波动性增加,市场的价格发现过程延迟,市场质量整体变差;印花税下调后,市场的流动性增加,市场的定价效率提升,市场的波动性却加大,市场质量指标变化呈现不一致性。由于事件研究法存在计量缺陷,进一步使用对比分析和回归分析控制成交量和价格水平等内生变量的影响,证实印花税下调整体改善了市场质量。证券交易印花税与市场质量呈负相关关系,税率上调的影响大于税率下调的影响,降低印花税赋税水平符合市场微观结构的内在要求。In the securities market regulation, Securities Transaction Tax （STT） has been seen as an important way of regulating, but there is no consensus in the literature on whether an increase or decrease in Securities Transaction Stamp Tax rate results in an improvement or deterioration in market quality. The recent two changes of Securities Transaction Stamp Taxes in China securities market provide us with a unique opportunity to test empirically the impact of a tax rate change on market quality. Through event study methodology, we find that market quality is decreasing in higher STT rate, while market Volatility is increasing in lower STT rate. We argue that previous event studies of the effect of STT have been econometrically flawed, propose a regression procedure to correct this flaw, and show that this procedure can reverse the result of an event study. There was a negative correlation between STT and market quality, and the impact of tax rate increase is greater than the impact of tax rate decrease, so decreasing the STT rate complies with the inherent requirements of market microstructure.

关 键 词：证券交易印花税 流动性 波动性 效率性 市场质量 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]