The Securities Transaction Stamp An Empirical Analysis Of The Impact On The Chinese Stock Market Volatility

In a capital market, the change of the stamp duty rate of securities transactions will effect different areas of stock markets, for example, transaction volume, transaction price, the volatility of rate of return and noise trading. From the market supervision, the stamp duty tax on securities transactions is an important tool to regulate the market. The stamp duty has changed for several times since Chinese government started to impose stock transaction tax. This paper is focused on Shanghai Stock Exchange market to analyse the influence the stamp duty of securities transactions have on the volatility of Chinese stock market.This paper has selected4times stock exchange tax change,which is changed on November16,2001,January24,2005,May30,2007,Apirl24,2008.Based on these four times change,we do some empirical research.The main methods contain Descriptive Analysis, Event Study about stock market and Levene test. The result implies that change of stock transaction tax rate does not have significant effect on stock return rate.However,CAR of the market and AR of individual stocks is significant after the event.Besides,there exists asymmetric effects of changes of stamp tax on the market volatility.Compared that most papers only focused on the effect of changes of stamp duty, this paper also focuses on whether there is a relationship between the tax rates and the market volatility in a period of time. The main method is regression analysis containing dummy variables.It is different from previous assumption of the linear relationship between tax rates and market volatility that this paper finds that the market volatility is significantly different from others when the stock rates stand the medium position.When the rate is0.2%,the volatility is less than others.When the rate is0.3%,the volatility is larger.And we imply that the changes in2001and2007have long-run effect.Based on the empirical ananlysis, this paper comes up with some political suggestion about the stamp tax of stock transaction..