【摘要 (中文/英文)】 调整证券交易印花税对市场的波动性、噪声交易者收益波动性、政府的财政收入和券商佣金收入都有重要的影响。有些学者认为提高证券交易印花税将增加“噪声交易”成本,从而使股市的波动性增大。也有的学者认为提高证券交易印花税会降低市场波动性和噪声交易者收益波动性。本文选取了2005年1月24日和2007年5月30日我国两次证券交易印花税调整进行了实证研究。关于调整证券交易印花税对大盘波动性的影响,主要研究方法是方差齐次检验和构建GARCH模型。最后的结果表明,在证券交易印花税率调整前后的60个交易日,沪深两市大盘收益率的波动性显著加大了。关于调整印花税对噪声收益波动性的影响,研究方法是方差齐次检验,结果是调整证券交易印花税...更多对小组合的影响是显著的。关于调整证券交易印花税对财政收入的影响,分别进行计算检验和计量检验,列表计算税率变动前后60个交易日的平均财政收入,财政收入变动率和税率的百分比变动,以及相应的税收收入对税率的弹性。同时建立一个带有时间虚拟变量的一阶自回归模型来考察证券交易印花税调整前后政府印花税收入的变化。结果表明提高证券交易印花税使政府的财政收入显著增加。关于调整证券交易印花税对券商佣金收入的影响,对调整前后60个交易日的成交金额数据,建立一个带有时间虚拟变量的一阶自回归模型。结果表明调整证券交易印花税对券商佣金收入的几乎没有影响。关于2007年调整证券交易印花税市场的反应方式问题,采用的是事件研究法,计算事件期内的累积超额收益率,结果表明证券市场反应不足。 我们提出的政策建议是:适度调低印花税的税率;同时拓宽税基,实行“宽税基、低税率”的税收原则。 

 Adjustments of stamp duty on securities has an important effect on market volatilitythe, volatility of earnings of noise traders,government revenue and brokerage’s commissions,Some scholars believe that the securities transaction tax levied on the stock market would increase the volatility of the revenue of noise traders and volatility of securities market.Also some scholars worry that the stamp duty on securities transactions will be lowered to reduce the“noise trading”of the cost,so that the volatility of the stock market increased.Some scholars believe that the increasement of the stamp duty on securities transactions increased market volatility and noise traders’earnings volatility.This paper chose January 24, 2005 and May 30, 2007 of China's two adjustments of securities trading stamp duty for the empirical study.As to the effect of the adjustment of the stamp duty on securities trading on the market volatility,our research method is the the test of the same variance and building GARCH model.The final results show that the increased rate of stamp duty on securities transactions within 60 trading days,the Shanghai and Shenzhen exchanges A shares volatility has increased significantly.The effect of the Adjustment of the stamp duty on the volatility of noise traders’revenue,our research is the test of the same variance,the result is that the effect of the adjustment of the stamp duty on securities trading on the little companies composition is significant. We propose:Modest reduction in the stamp duty rate,at the same time broading the tax base,implement the principle of“wide tax base and low tax”.

【关键词 (中文/英文)】 证券交易印花税; 市场波动性; 噪声收益波动性; 反应不足