Transaction tax and stock market behavior: evidence from an emerging market
Transaction tax and stock market behavior: evidence from an emerging market
复制标题
DOI：
10.1007/s00181-005-0022-9
复制
发表时间：
2006-06-01
影响因子：
3.2
通讯作者：
Li, Qi
中科院分区：
文献类型：
--
作者：
Baltagi, Badi H.;Li, Dong;Li, Qi
本文利用中国两家证券交易所的数据，考察了印花税税率上调对市场行为的影响。我们发现，当税率从0.3%增加到0.5%(这意味着交易成本增加了约1/3)时，交易量减少了1/3。这意味着相对于印花税的成交量弹性为-50%，相对于交易成本的成交量弹性为-100%。税率上调后，市场的波动性明显增加。此外，波动率结构的变化表明，市场变得不那么有效，因为市场对冲击的吸收速度较慢。
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of -50% and an elasticity of turnover with respect to transaction cost of -100%. The markets' volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.