The Impact Of The Adjustment Of Stamp Duty Rate For Securities Transactions On The Chinese Securities Markets-An Empirical Study

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".