Study Of Portfolios Based On The Adjustments Of Securities Transaction Stamp Tax

The stock market in China began in the early 1990 s, after 20 years’development, relevant rules have constantly perfected, and the market has become more mature, the securities transaction stamp tax (STST) as a specific tax towards securities traders has arisen at the historical moment. Since STST begins to execute in 1991, nearly all adjustments of levying way or tax rate have always been followed by the shock of the stock market, thousands of stocks at the same time approaching raising limit or down limit again and again. In order to study the effect of securities transaction stamp tax on stock market, the article will studies the influence of "the 5-30 events" as an example on A-share market considering returns and risks of different industries, then builds the optimal portfolio, providing investors certain suggestion.Some unreasonable asset allocations may happen when optimizing in Traditional portfolio models (such as Markowitz mean-variance model, capital CAPM etc.). For example, about Mean-Variance model, some assets are intensely short-sold when no limit on weight of assets. While, the weights of certain assets may turn to zero when executing limitation. The sensitivity above to input parameters lower the practical value of the models. In 1992, Black-Litterman model has been introduced and it can make up for several shortcomings of Mean-Variance model, which revises expected return on the base of the equilibrium return through introducing investors’views.It makes the expected return more reasonable in the markowitz portfolio optimization.At the same time, in the process of optimizing portfolio, the article uses genetic algorithm possessing overall search ability.This article will launches the research from two parts. In the first part, I will use event study to study the impact of "the 530 event" towards the return and volatility of different industries in Chinese A-share market. And I use the cumulative abnormal returns (CAR) to analyze the duration of the shock effect. The study find that the duration of the shock effect is about 8 days. In the long run, the cumulative excess returns converge to a specific value for the most of industries, indicating that the events has been absorbed by investors. In the second part, I use Black-Litterman model (BL model) to build portfolios, and simulate the more rational investors’views with GARCH model, finally use genetic algorithm (GA) to optimize the established portfolios to choose the best one. The results of the study think that the STST rate may not reduce investors’ expectations on future returns, but the risks to the investors will rise, at the same time, comparing with a lower tax rate, investors will obtain less utility.