Analysis On The Impact Of Securities Transaction Tax Adjustments On Stock Market Volatility

In the impact of securities transaction tax on stock market fluctuations, there are a lot of controversies between domestic and foreign scholars. Some scholars believe that levying securities transaction tax or raising the tax rate will increase transaction costs, curb speculation, and reduce market volatility, and vice versa. However, some scholars believe that does not always stand up. This paper takes Shanghai and Shenzhen stock market data as sample, adopting event study method, using GARCH model, empirically studies the direction and extent of the volatility influence deduced by the three adjustments in securities market stamp duty since 2001 in China. As a result, this paper tries to testify that, as a control policy, securities market stamp duty adjustment, whether it is strongly effective just as the regulatory departments expected, whether it has remarkable impact on stock market volatility in China. In the last, after taking a serious look at the malfunction of China's securities tax, and adopting securities tax system optimization theory, and referring foreign securities tax system-building experience, this paper provides several policy suggestions on improving China's securities tax system.