Stamp Duty On Securities Transactions To Adjust The Impact Of Research On The Stock Market Volatility

The stamp tax is an important part of the security trading cost. From the perspective of traders, the amount and the adjustment of the cost play an important role in the fluctuation of the security market. From the development history of our security market, the administrations have always seen the stamp tax as a tool to regulate the market. Since the beginning of the stamp tax, it has been changed many times, while every time with the big fluctuation of the stock market. As for these reasons, the influence of the stamp tax to the market is studied in this paper from theory and empirical aspects. The theory part mainly talks about the concept, influence, history, the tax construction, the effect of the tax rate adjustment, and the concept of the fluctuation. In the empirical part, variance test is used to study the variation of the market yield during the days before and after the changing day. From the result, we can see that the adjustment really influences the market yield and also play much importance in the fluctuation of the market, while the impact is fluctuating and unsymmetrical. And then the GARCH (1,1) model is used to test the three changes of the stamp tax in 2006,and it is proved again that in the new market situation and international circumstances, the rise of the stamp tax has an obvious impact on the market yield, while the down has a not so obvious impact. With time going, the impact will be less and less. In the end, according to the result of the paper and the security trading taxation of the developed countries, several suggestions are put forward for our country's taxation reform and perfection.