印花税调整政策对股票市场效率的影响分析

发布时间：2018-01-26 11:54

  本文关键词： 市场效率 印花税 GARCH　出处：《数理统计与管理》2014年01期 　论文类型：期刊论文

【摘要】：本文立足于市场效率的视角探索印花税调整政策对我国股票市场的影响,通过基于随机游走的弱式效率分析方法考察印花税政策调整公告前后市场的效率特征,建立包含时间开关变量的GARCH模型探究政策公告前后市场效率结构的变化,运用带有滑动窗的方差比检验方法进一步分析市场效率的演进路径。结果显示,印花税调整政策公告会引起市场效率结构的显著改变,政策调整公告后的短期内会出现显著的市场效率提升,然而公告前却会出现市场效率的较大降低.
[Abstract]:Based on the perspective of market efficiency, this paper explores the impact of stamp duty adjustment policy on China's stock market, and investigates the market efficiency characteristics before and after the announcement of stamp duty policy adjustment through a weak efficiency analysis method based on random walk. A GARCH model with time-switching variables is established to explore the changes of market efficiency structure before and after the policy announcement. The variance ratio test with sliding window is used to further analyze the evolution path of market efficiency. The results show that the announcement of stamp duty adjustment policy will cause significant changes in market efficiency structure. After the announcement of policy adjustment, there will be a significant increase in market efficiency in the short term, but there will be a great decrease in market efficiency before the announcement.
【作者单位】： 山西大学管理学院;
【基金】：教育部人文社会科学研究项目(07JA630027) 山西省人文社科重点研究基地项目(2011305)
【分类号】：F832.51;F812.42;F224
【正文快照】： 0引言股票市场作为上市公司补充“血液”和调节资金配置e笃教，

本文编号：1465539