Empirical Study On The Impact On Stock Market Volatility Due To Adjustments Of Securities Transaction Stamp Tax

This paper takes the seven adjustments of securities transaction stamp tax after 1992 and except the one in 1999 as study objects, return series of Shanghai composite index and Shenzhen component index as samples, to test the impact on stock market volatility both in short and long term empirically. While testing the impact in short term, skewness and kurtosis test and Shapiro-Wilk test are used to test the normality of samples, and then Levene's test is used to test variance equality of samples before and after each adjustment of securities transaction stamp tax due to their non-normality. While testing the impact in long term, ARCHs on each sample are established and compared according to model significance, AIC and SC so that the best ARCH on each sample is selected. And then best ARCHs, in whose conditional variance equations additional dummy variables are added, are estimated.The following conclusions are obtained through empirical study:1. Adjustments of securities transaction stamp tax have similar impact on volatility of Shanghai and Shenzhen stock market.2. Increasing the rate of securities transaction stamp tax will definitely increase market volatility in short term.3. Decreasing the rate of securities transaction stamp tax have uncertain impacts on market volatility. It may increase, decrease, or have no significant impact on stock volatility.4. Adjustments of securities transaction stamp tax, increasing or decreasing the rate, have no significant impact on stock market in long term.The following suggestions are given according to conclusions obtained:1. Use the policy of adjustments of securities transaction stamp tax less.2. Increse the rate of securities transaction stamp tax no more, and decrease it when proper.