Research About The Impact Of Stamp Duty Rate Changes On China's Stock Market Volatility

With the development and growth of China's stock market, stock market volatility on the yield characteristics and the influencing factors have been an important issues in the modern finance. Stamp duty and commission formed by the transaction costs directly affect the stock market volatility and the volatility of noise trading. Some scholars think that the raising stamp duty on securities transactions will increase transaction costs, reduce the liquidity of the stock, so that stock market volatility and Noise Trading income increased volatility. Also some scholars believe that increasing the stamp duty will reduce the volatility of the stock market. Empirical results of the study at home and abroad is not consistent. This paper analyzes China's stock market from 1997 to 2008 the successive changes in stamp duty on securities transactions on the stock market volatility effects and makes an empirical test.Paper is divided into five chapters, the first chapter is on the topics of the background and significance, from the definition and characteristics of the stamp duty, combs related theories on stamp duty, analysis the role of stamp duty adjustment on the overall stock market volatility, including the broader market earnings volatility and the noise trading volatility. The second chapter describes and analyzes the status quo of China's securities market, using event study method to study the previous adjustment of the stamp duty on stock the impact of market volatility. The third chapter conducts an empirical analysis on stamp duty adjustment on the volatility of broad market returns on China's stock market. We get the conclusion that: raise the stamp duty rates, increased market volatility; lower stamp duty rates, volatility can not determine the direction and impact. Chapter IV analysis the stamp duty adjustments in noise trading volatility and arrives at: the stamp duty adjustments (upward or downward) will increase the volatility of the market in the short term, but also small companies portfolio even more significant; in a long term, the tax adjustment is better to curb speculation, or stimulate the market on small composition, large portfolio is not obvious. Chapter V takes the conclusions and makes recommendations accordingly about stamp duty changes on the impact of China's securities market .