证券交易印花税对股价影响的实证研究

发布时间：2018-05-28 22:35

本文选题：证券交易印花税 + 对股价的影响　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：在我国改革开放不断深化、市场经济体制不断完善的大背景下,我国证券市场逐渐发展与壮大,证券交易运行机制也逐渐规范。当然,由于我国证券市场发展的相对较晚,证券市场还不成熟,证券市场上存在投机行为、“羊群效应”等。证券交易印花税作为调节证券市场的工具之一,近年来其随着证券市场的变化而做出了调整。证券交易印花税由双边征收改为单边征收,其税率随着证券市场的变化进行了多次调整,以促进证券市场健康稳定的发展。但证券交易印花税率的调整在社会上存在争议,一部分人认为税率调整很难发挥作用,而一部分人却认为证券交易印花税能发挥调节证券市场的作用。基于此,本文根据近年来证券交易印花税税率调整,实证检验证券交易印花税对股票价格的影响,以判断其对股票市场的调节作用。本文在证券交易印花税对股价影响机理的基础上,根据我国证券交易印花税的状况,利用Levene检验和GARCH检验,实证分析了其对我国股价水平与股价波动性的影响。从历次调整中选择时间较近的四次证券交易印花税调整作为研究政策变化时点,以上证股价指数为样本数据,实证检验了税率上调和下调对股价的影响。实证结果表明,其税率调整在短期内对股价影响显著,但长期效应不明显,对股价的影响因时期不同而有差异。本文在实证分析的基础上,根据我国现实情况,借鉴国外经验,从短期与长期视角提出了优化我国证券交易印花税政策建议。
[Abstract]:Under the background of deepening the reform and opening up and perfecting the market economic system, the securities market in our country has gradually developed and expanded, and the operation mechanism of securities trading has been gradually standardized. Of course, because of the relatively late development of China's securities market, the securities market is not mature, there is speculation in the securities market, "herd effect" and so on. As one of the tools to regulate the securities market, the stamp duty of securities transaction has been adjusted with the change of the stock market in recent years. The stamp duty on securities transaction has been changed from bilateral to unilateral, and its tax rate has been adjusted many times with the change of securities market to promote the healthy and stable development of securities market. However, the adjustment of stamp tax rate on securities exchange is controversial in society. Some people think that tax rate adjustment is very difficult to play a role, while some people think that stamp duty on securities transaction can play a role in regulating the securities market. Based on this, according to the adjustment of stamp duty rate in recent years, this paper empirically tests the influence of stamp duty on stock price in order to judge its regulating effect on stock market. On the basis of the influence mechanism of stamp duty on stock price, according to the situation of stamp duty on stock exchange in China, this paper empirically analyzes the influence of stamp duty on stock price level and stock price volatility by using Levene test and GARCH test. Taking the stock price index of Shanghai Stock Exchange as the sample data, this paper empirically tests the effect of tax increase and downward adjustment on the stock price by selecting the four recent adjustment of stamp duty of securities transaction as the time point of the policy change. The empirical results show that the tax rate adjustment has a significant impact on stock price in the short term, but the long-term effect is not obvious, and the impact on stock price varies with different periods. On the basis of empirical analysis, according to the reality of our country and foreign experience, this paper puts forward some suggestions on how to optimize the stamp duty policy of securities transaction in our country from the perspective of short and long term.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F812.42

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