Su, Yongyang (2010): The impact of the securities transaction taxes on the Chinese stock market.
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This paper analyzes the impact of changes in the securities transaction tax (STT) rate on the local A-shares market in China. We find that, on average, a 22-base-point- increase in the STT rate is associated with about a 28% drop in trading volume, while a 17-base-point- reduction in the STT rate is associated with about a 89% increase in trading volume in the Chinese A-shares market. Both the increases and reductions in the STT rate result in a significant increase in the market return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or curbing it. The reductions usually either make the market less efficient or have not effect on it. The empirical results together show that levying the STT on trading is not an effective tool to regulate stock market, at least in this emerging market.
|Item Type:||MPRA Paper|
|Original Title:||The impact of the securities transaction taxes on the Chinese stock market|
|English Title:||The impact of the securities transaction taxes on the Chinese stock market|
|Keywords:||Securities transaction taxes, stock market,volatility, trading volume|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G10 - General|
|Depositing User:||Yongyang Su|
|Date Deposited:||14. May 2010 00:19|
|Last Modified:||13. Feb 2013 13:52|
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