| 印花税上调对股市波动性影响的实证研究 |
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| 引用本文： | 龙金茹,屠年松. 印花税上调对股市波动性影响的实证研究[J]. 昆明理工大学学报(自然科学版), 2009, 34(1): 104-107 |
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| 作者姓名： | 龙金茹 屠年松 |
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| 作者单位： | 昆明理工大学应用技术学院,云南,昆明,650093;昆明理工大学应用技术学院,云南,昆明,650093 |
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| 基金项目： | 国家科学基金西部地区项目 |
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| 摘 要： | 以2007年5月30日印花税上调事件为研究对象，采用2007年上证综指和深成指日收益率数据，借鉴EGARCH模型进行建模．研究发现，从长期看，印花税自0．1％上调至0．3％后对市场波动性和交易量没有显著影响，反映出印花税是否调整或调整的幅度并非投资者改变投资策略的主要考虑因素．印花税作为调控市场的手段其作用是有限的．
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| 关 键 词： | 印花税 股市波动 EGARCH模型 |
Effect of Transaction Cost on Volatility of China Stock Market |
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| LONG Jin-ru,TO Nian-song. Effect of Transaction Cost on Volatility of China Stock Market[J]. Journal of Kunming University of Science and Technology(Natural Science Edition), 2009, 34(1): 104-107 |
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| Authors: | LONG Jin-ru TO Nian-song |
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| Affiliation: | Faculty of Applied Technology;Kunming University of Science and Technology;Kunming 650093;China |
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| Abstract: | Taking the event that China increased the transaction cost of stock market on May 30th,2007 as an object,a model based on EGARCH is established in this paper,adopting the SSE Composite Index and SSE Component Index daily return data.It is found through this modeling that the increase of transaction cost from 0.1% to 0.3% has no significant effect on the volatility or volume of the two markets,indicating that transaction cost is not the major factor to affect the traders' strategies.As a macro-control method... |
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| Keywords: | transaction cost volatility EGARCH model |
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