基于投资者信念异质的证券市场交易税效应研究

发布时间：2018-01-13 20:05

本文关键词：基于投资者信念异质的证券市场交易税效应研究　出处：《湖南大学》2013年博士论文　论文类型：学位论文

【摘要】：市场交易成本，特别是证券市场交易税(STT)是影响金融市场有效运行的重要因素之一。事实上，自金融危机爆发以来，政策制定者、实际操作者以及相关学者对征收市场交易税以抑制金融投机的呼声再起，引发争议不断。研究交易税的实际经济效应，分析市场对交易税政策反应的原因，从而评价证券市场交易税政监管效率，探索加强市场监管有效性的途径与方法，对于构建更加合理的政府监管机制、提高政策监管水平，以有效促进证券市场乃至整个金融市场的健康发展，既是关乎国家金融稳定的重要制度安排，也对保障经济的稳定运行具有重要意义。本文沿理论阐述、定性分析、定量研究的思路展开，从现代行为金融学的视角出发，在回顾并评述市场交易税的基本理论和研究现状的基础上，将理论与实证相结合，通过非线性动态随机模型并引入向量自回归(VAR)、EGARCH计量检验、数据包络分析(DEA)和Tobit回归方法等，按照不同的时域特征对市场交易税的实际经济效应和效应产生的原因分别进行探讨。首先针对市场交易税制度的实际效应分别从长期和短期两方面进行考察。就长期效应而言，本文运用具有非开放经济和金融摩擦特征的动态随机一般均衡理论，从噪声交易者异质信念对市场均衡价格的影响出发，采用非线性动态随机模型和SVAR模型分析市场交易税对实体经济变量的长期影响。结果显示，证券交易税对实体经济的长期效应分别类似于公司所得税和货币政策、政府支出等政策冲击对包括通货膨胀、产出和就业的影响。证券交易税虽然降低了经济波动，但是这种稳定效应在程度上有限。而就短期效应而言，本文采用了中国证券市场日数据对证券市场交易税政策调整的短期效果进行测度。研究表明，证券交易税税率上调对中国证券市场效率的影响是混合的，有时在一定程度上可以改善效率，而有时又抑制了效率。同时，研究没能发现强有力的证据来印证证券交易税税率下降可以影响市场波动效率，尽管有几次的样本研究结果显示市场效率得到降低。这主要是因为投资者对市场的基本面持有异质信念，投资者的意见分歧和信念异质可能会相互牵制和抵销，并最终导致市场交易税的净效应不明了。然后，引入投资者异质信念的思想，从投资者有限关注的视角，针对市场交易税的长期经济效应以及短期调整效应进行深入的原因剖析，，从而更加全面地描述市场交易税实际效应形成的内在机理。基于共同信息异质信念和分类信息异质信念的假设出发，实证检验结果论证了投资者异质信念和交易税费的内生作用对交易税政策调整实际效果的影响。再后，为进一步探讨至今仍存在争议的证券市场监管有效性问题，本文从现代行为金融观点出发，采用两阶段DEA方法考察监管与效率之间的关系，从而间接地对交易税政监管效度进行探究。在对包括银行业特征、宏观经济发展、金融发展状况和市场结构的环境变量进行控制后，实证结果显示监管变量与效率之间仍然存在显著正相关关系。但是，证券交易税税率调整和监管的频率与效率之间分别存在负相关和不存在显著关联度。该实证结果为证明市场监管有效性问题提供了实证支持，同时也为监管政策的制定和选择提供了参考依据。最后，在上述研究成果基础上，本文总结了研究结论，并为切实提高市场监管有效性，加强监管效果，从证券税收制度创新、交易税政监管理念创新、交易税政监管政策时机选择优化、投资者信念协调、税政显著及纳税服务质量完善、交易税政监管环境机制创新、证券产品创新等多方面，为提高中国证券市场监管有效性提出政策建议。
[Abstract]:The transaction cost of the market, especially the stock market transaction tax (STT) is one of the important factors that affect the effective operation of the financial market. In fact, since the financial crisis, policy makers, operators and relevant scholars to collect the actual market transactions tax to curb financial speculation calls again, causing controversy. The practical research on the economic effect of trade tax, transaction tax policy response to the reason analysis of the market, so as to evaluate the securities market transaction tax policy supervision efficiency, explore the ways and methods of strengthening market supervision effectiveness, to build a more reasonable mechanism of government supervision, improve the regulatory policy level, in order to effectively promote the healthy development of the securities market and the financial market, an important system arrangement is the national financial stability, but also has important significance to ensure the stable operation of the economy.
This paper along the theory, qualitative analysis, quantitative research methods, from the perspective of modern behavioral finance perspective, based on the basic theory and research review and comment on the market transaction tax on the combination of theory and practice, through the nonlinear dynamic stochastic model and the vector autoregressive (VAR), EGARCH test, data envelopment analysis (DEA) and Tobit regression method, according to the different characteristics of the time domain causes of market transaction tax actual economic effect were discussed.
First of all according to the actual effect of market transaction tax system respectively from the two aspects of long-term and short-term investigation. The long-term effect, this paper has a non open economic and financial friction characteristics of the dynamic stochastic general equilibrium theory, starting from the noise traders effect of heterogeneous beliefs on the market equilibrium price, analysis of the nonlinear dynamic stochastic model and SVAR model effect of market transaction tax on real economic variables. The results showed that the long-term effect of the securities transaction tax on the real economy are similar to the corporate income tax and monetary policy, government expenditure policy impact on inflation, output and employment. The securities transaction tax while reducing the economic fluctuation, but the stabilizing effect in degree limited. While the short-term effect, the stock market data on China adjustment of the securities market transaction tax policy short To measure the effect. The study shows that the influence of securities transaction tax on Chinese securities market efficiency is mixed, sometimes to a certain extent, can improve the efficiency, and sometimes inhibition efficiency. At the same time, studies have failed to find strong evidence to prove the securities transaction tax rate decline can affect market volatility efficiency, although the results there are a few of the study shows that market efficiency is reduced. This is mainly because the fundamentals of the market investors hold heterogeneous beliefs, opinions and beliefs of heterogeneous investors may contain each other and offset, and eventually lead to the net effect of the market transaction tax is unknown.
Then, introducing the idea of investor heterogeneous beliefs of investors from the limited perspective, the long-term economic effects of market transaction tax and short-term effects of in-depth analysis, thus a more comprehensive description of the mechanism of forming the market transaction tax. The actual effect of common information of heterogeneous beliefs and classification information of heterogeneous beliefs based on the hypothesis that the effect of the empirical results demonstrate the investor heterogeneous beliefs and the endogenous transaction tax effect on transaction tax policy adjustment effect.
Then, in order to further explore the effectiveness of securities market regulation is still in dispute, this article from the behavioral finance perspective, examines the relationship between supervision and efficiency by using two stage DEA method, thus indirectly to explore transaction tax policy on regulatory validity. Including banking characteristics, macro economic development, control financial development and market structure of the environmental variables, the empirical results show that there are significant positive correlation between the regulatory variables and efficiency. However, negative correlation and no significant correlation exists between the frequency respectively and efficiency of securities transaction tax adjustment and supervision. The empirical results provide empirical support to prove the effectiveness of market regulation the problem, but also provide a reference for the formulation and selection of regulatory policy.
Finally, based on the research above, this paper summarizes the research conclusion, and to effectively improve the effectiveness of market supervision, strengthen the supervision effect, from the innovation of tax system of securities transaction tax administration, innovation supervision idea, transaction tax policy regulatory policy timing optimization, investor belief coordination, tax administration and tax service quality improved significantly. Transaction tax policy environment supervision mechanism innovation, the innovation of securities products and other aspects, in order to improve the proposed policy recommendations of the effective supervision of the securities market of China.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51;F812.42

【参考文献】