The Impact Of Stamp Duty For Securities Transaction Adjustments On The Volatility Of A Stock Markets

Chinese stock market has achieved great success after twenty years of development, its status in the national economy is improving and it becomes one of the key issues for overall economic development. However, the dramatic fluctuation phenomenon is usually appeared in the process of the development which brings the huge risk to the market undoubtedly. Because of the stock market links thousands of families on the one hand and contact with thousands of families on the other hand, therefore, the health and stable operation of the stock market not only affect our financial stability and economic development, but also related to the people's livelihood. In addition, lessons from abroad also remind us that the consequences of instability operation of the stock market is very serious. For example, in 1929, the crash of the U.S. stock market caused Great Depression, the collapse of the Japanese stock market led to the Japanese economic "lost decade" and so on. Therefore, whether from the view of the importance of the stock market in our economy or the lessons from the foreign countries, research on the volatility of the stock market has great practical significance. In the face of stock market volatility, the mangement has selected the stamp duty for securities repeatedly to regulate the stock market, but does the stamp duty is an effective tool in regulating the stock market? The academics held different views for this problem. So research and discuss the adjustment of stamp duty for securities transactions on the on the impact of stock market volatility is necessary.This paper provides an empirical study on the impact of the previous adjustments of the securities transaction since 1997 on the volatility of A stock markets. This paper selected seven groups of the sample to study on the short-term impact of adjustment of the stamp duty rate on the volatility of stock market. First of all, we use the test of the Shapiro-Wilk to judge the normality of the samples, in the case of the samples does not meet the normal distribution, we adopt the method of the Levene variance equality test to analyze whether the variance is statistically significant after the adjustment of the stamp duty rate. We examine the long-term impact by building the GARCH(1,1) model and adding the dummy variable Dt in the conditional variance equation. Through the empirical research, we draw the following conclusions:From the view of the short-term impact, increase the rate of securities transaction tax will enhance the volatility of the stock market, but the degree of the impact will decrease over time, while when the rate of securities transaction tax is being reduced, the impact on the volatility of the stock market is not obvious. In addition, the impact of securities transaction tax adjustment on the volatility of Shanghai A stock market is consistent with the Shenzhen A stock market. From the aspect of the long-term impact, the impact of the securities transaction tax adjustment on the volatility of the stock market isn't significant. Finally, this paper put forward some policy recommendations.