The Empirical Analysis And Suggestions Of The Influence Of Securities Transaction Taxes On Shanghai Stock Market Volatility

In this article,through the theoretic analysis of the adjustment of the Securities Transaction Taxes on the stock market and the empirical analysis of the volatilities of Chinese Shanghai share index returns,the author aims to reflect the specific ways and means that the Securities Transaction Taxes on stock transactions affect the stock market and to analyze and measure the characteristics of the period and size of the economic impact of the tax,in order that we could design the tax system better.The empirical analysis of this article is divided into the short-term,middle-term and long-term with different empirical analysis methods.Using the method of case analysis, through non-normal distribution under the LEVENE test,the chapterⅢdoes some researches on the short-term and middle-term volatility of Chinese Shanghai share index returns before and after the events.The conclusions of this chapter is that when the tax rate is raised,the short-term volatilities of Chinese Shanghai share index returns will change a lot while the volatilities of Chinese Shanghai stock share index returns have no significant effect when the tax rate is declined.During the long-term analysis on the events,through the fitting of data,the author finally choose the models of GARCH(1, 1) and TGARCH(1,1) to verify the long-term effects of the volatilities of Chinese Shanghai share index returns.The results in the section suggest that the phenomena of tails,volatility clustering,lever effects and so on,and in the end,we give some proper reasons to the differences between the empirical analysis method and theoretic analysis method.