印花税对证券市场运行绩效的影响
摘要
印花税作为中国证券市场上的主体税种,引入国内已十几年时间。回顾十多年来印花税税率变动的历史,不可否认,历次税率调整对于证券市场都起到了一定调节的作用,印花税上调可以抑制投机,控制过分活跃的市场,而下调则可以活跃市场。
随着我国证券市场的日臻完善和对外开放步伐的加快,金融监管当局的政策工具的有效性问题也将越来越得到重视。从市场运行绩效的角度出发,印花税税率的高低和调整将给整个制度本身带来多层次的影响。回顾近年来国际和国内已有的关于印花税的文献,绝大多数针对印花税的科研成果集中在分析印花税调整对于股票价格和波动的影响上,对于印花税和市场运行绩效关系的研究却十分鲜见,为相关研究留下了较大的创新余地。
从各国证券市场的实践经验来看,择时适度地调整证券市场的交易成本,是一国证券监管部门进行市场调控的有效手段之一。但是,在我国证券市场上,印花税政策被赋予太多调控市场的特殊功能,而现实中并没有对印花税和市场运行绩效关系有统一的认识。为此,需要通过对印花税和市场运行绩效的关系,进行理论分析和实证检验,进一步分析二者之间的关系。
在当前的市场环境下加强对印花税与市场运行绩效的关系研究,有利于发现我国证券市场价格的内在形成机制,从而为引导投资者的理性投资行为、提高投资者的理性程度、构建我国证券市场的理性的微观基础、保护投资者的利益、提高证券市场的效率。因此,研究印花税与市场运行绩效的关系有现实意义,有助于加深对我国证券市场的理解,并借此为我国证券市场健康发展提供更多的指导。
本文试图以理论和实证研究回答以下几个问题:第一,印花税会对市场运行绩效的哪些指标有影响?第二,在现行的印花税制度下,是否存在市场运行绩效最优的印花税税率?第三,在现行的印花税制度下,是否存在最优的征收方式?第四,我国证券市场印花税税率和波动性有什么关系,印花税税率调整对波动性有什么影响?第五,我国证券市场印花税税率和流动性有什么关系,印花税税率调整对流动性有什么影响?带着上述问题,本文对我国证券市场上印花税与市场运行绩效关系进行深入研究,得到如下结论:
第一,印花税本身就是低成本指标的重要反映,与市场运行绩效中的流动性指标、稳定性指标两个指标密切相关,而与有效性指标、透明度指标、安全性指标关系不大,因此,本文的研究范围界定为印花税对于市场流动性和波动性的影响。
第二,在现行的印花税税率历史范围内(0.1%至0.6%),印花税税率为0.1%为市场运行绩效最优的情况,波动性最小,而流动性最大,印花税税率在0.3%和0.4%为市场运行绩效最差的情况,波动性最大,而流动性最小。目前我国证券市场是按照0.3%进行印花税的征收,从市场运行绩效角度衡量,是最不优的。
第三,印花税的不同征收方式对于市场运行绩效存在不同的影响。理论上,降低波动性要求仅对卖方征收印花税,提高流动性要求仅对买方征收印花税,但是,根据数值模拟的结果,仅对于卖方征收印花税,可以有效地降低波动性,但是对于流动性的影响不大,因此,仅对于卖方征收印花税可以提高市场运行绩效。
第四,印花税对波动性存在不对称影响,既包括不同印花税税率水平对波动性产生的不对称影响,也包括印花税调整对波动性产生的不对称影响。印花税税率与波动性并非存在线性的关系,印花税税率位于中间水平时(0.3%),股票价格的波动性是最大的。同时,印花税调整,短期内可以引起波动性的增加,而且上调印花税比下调印花税引起的波动性更为显著。
第五,印花税税率对于流动性的影响显著为负,印花税税率提高会造成市场流动性会变差;印花税的调整对于对流动性的影响存在显著的不对称性:印花税上调的流动性变化明显大于印花税下调时,且印花税上调时对流动性影响的反应更为迅速。
全文最后,总结理论和实证得到研究结果,就印花税和我国证券市场的关系,向监管者提出了相关建议,并针对本文的不足对未来的研究提出展望。
It has been over ten years since the stock exchange stamp tax was first brought into China. In these ten years, the tax rate has been fluctuated many times and it is very obviously that these adjustments of tax rate have worked out on the stock market to some extent. The rise of the stamp tax rate may control the overheated market, and the fall may cheer up the market.
As the development of the stock market in our country, more and more emphasis has been put on the effectively of the policy of financial supervision. Concerning the performance of the market, the adjustments of stamp tax rate affect the whole mechanism in a multiple way. A review of the literatures about stamp tax rate home and abroad shows that most researches focus on the impact given to the fluctuation of stock price by the adjustment of stamp tax rate, but few on the relations between stamp rate and the market operational performance.
The experiences of stock market in various countries show that it is an effective way for the supervisors of a state to regulate the stock market, to adjust the exchange cost of the stock market at right times. But in our country, a unified knowledge about the relations between stamp tax rate and market operational performance hasn't been reached, while in the practice the stamp tax policy has taken on too much responsibilities of market regulation. Therefore, both theoretical and empirical study focus on the relations between stamp tax rate and market operational performance are needed.
These kind of research can help to find out the inner mechanisms of how the stock price forms, hence provide a theoretical basis for policies promoting rational investments, protecting the investor' interests and improving the stock market. In a word, the research of relations between stamp tax rate and the market operational performance is very important for scholars to deepen the knowledge of stock market in our country, which could provide more instructions of the sound development of the stock market.
This paper focuses on the questions below: Firstly, which indicates of the market operational performance does stamp tax affect? Secondly, concerning the present mechanism of stamp tax, will there be a rate that makes the best market operational performance? Thirdly, will there be the best way of collecting? Fourthly, what is the relation between the stamp tax rate in our country and the volatility? Lastly, what's the relation between stamp tax rate and the liquidity? Findings of this paper provide conclusions below:
Firstly, stamp tax is a significant representation of the low cost indicates, and has very strong correlation with the liquidity indicates and the stability indicates, with a weak correlation with the effectively indicate, transparency indicate and safe indicate. Therefore, this paper mainly focuses on the effect on liquidity and volatility.
Secondly, the stamp tax rate has been fluctuated from 0.1% to 0.6%.When the rate is 0.1%, the market operational performance is best, with the highest liquidity and the lowest volatility; when the rate is between 0.3% and 0.4%; the operational performance is the worst, with the lowest liquidity and the highest volatility. Presently, the stamp tax rate in our country is collected at 0.3%.It is the worst judging from the performance.
Thirdly, different ways of collecting taxes has different impact on the market operational performance. Theoretically, the fall of volatility demands taxes from sellers, while the rise of liquidity demands taxes from buyers. But according to the results of the numerical simulation, stamp taxes from sellers only can bring down the volatility but doesn't affect the liquidity. So, stamp taxes from sellers only can improve the market operational performance.
Fourthly, stamp tax has unsymmetrical correlation with volatility, which involves the unsymmetrical impact on volatility by different rates, and the adjustments of the rates. The correlation is not linear. When the stamp tax rate locates in the middle, the volatility of the stock price is the highest. Meanwhile, the adjustments of the stamp tax rate will raise the volatility in a short time. And the rise of the rate has a more significant impact than the fall.
Lastly, stamp tax rate has a significant minus impact on the liquidity. The rises of the rate bring down the liquidity in the market. The impact is unsymmetrical: the change of liquidity caused by the rate rise exceeds much that caused by the fall, and the impact on liquidity of rate rise is more rapid.
The results of this paper provide suggestions of the relation between stamp tax rates and the stock market to the supervisors, also some possible ways of the researches in the future.
随着我国证券市场的日臻完善和对外开放步伐的加快,金融监管当局的政策工具的有效性问题也将越来越得到重视。从市场运行绩效的角度出发,印花税税率的高低和调整将给整个制度本身带来多层次的影响。回顾近年来国际和国内已有的关于印花税的文献,绝大多数针对印花税的科研成果集中在分析印花税调整对于股票价格和波动的影响上,对于印花税和市场运行绩效关系的研究却十分鲜见,为相关研究留下了较大的创新余地。
从各国证券市场的实践经验来看,择时适度地调整证券市场的交易成本,是一国证券监管部门进行市场调控的有效手段之一。但是,在我国证券市场上,印花税政策被赋予太多调控市场的特殊功能,而现实中并没有对印花税和市场运行绩效关系有统一的认识。为此,需要通过对印花税和市场运行绩效的关系,进行理论分析和实证检验,进一步分析二者之间的关系。
在当前的市场环境下加强对印花税与市场运行绩效的关系研究,有利于发现我国证券市场价格的内在形成机制,从而为引导投资者的理性投资行为、提高投资者的理性程度、构建我国证券市场的理性的微观基础、保护投资者的利益、提高证券市场的效率。因此,研究印花税与市场运行绩效的关系有现实意义,有助于加深对我国证券市场的理解,并借此为我国证券市场健康发展提供更多的指导。
本文试图以理论和实证研究回答以下几个问题:第一,印花税会对市场运行绩效的哪些指标有影响?第二,在现行的印花税制度下,是否存在市场运行绩效最优的印花税税率?第三,在现行的印花税制度下,是否存在最优的征收方式?第四,我国证券市场印花税税率和波动性有什么关系,印花税税率调整对波动性有什么影响?第五,我国证券市场印花税税率和流动性有什么关系,印花税税率调整对流动性有什么影响?带着上述问题,本文对我国证券市场上印花税与市场运行绩效关系进行深入研究,得到如下结论:
第一,印花税本身就是低成本指标的重要反映,与市场运行绩效中的流动性指标、稳定性指标两个指标密切相关,而与有效性指标、透明度指标、安全性指标关系不大,因此,本文的研究范围界定为印花税对于市场流动性和波动性的影响。
第二,在现行的印花税税率历史范围内(0.1%至0.6%),印花税税率为0.1%为市场运行绩效最优的情况,波动性最小,而流动性最大,印花税税率在0.3%和0.4%为市场运行绩效最差的情况,波动性最大,而流动性最小。目前我国证券市场是按照0.3%进行印花税的征收,从市场运行绩效角度衡量,是最不优的。
第三,印花税的不同征收方式对于市场运行绩效存在不同的影响。理论上,降低波动性要求仅对卖方征收印花税,提高流动性要求仅对买方征收印花税,但是,根据数值模拟的结果,仅对于卖方征收印花税,可以有效地降低波动性,但是对于流动性的影响不大,因此,仅对于卖方征收印花税可以提高市场运行绩效。
第四,印花税对波动性存在不对称影响,既包括不同印花税税率水平对波动性产生的不对称影响,也包括印花税调整对波动性产生的不对称影响。印花税税率与波动性并非存在线性的关系,印花税税率位于中间水平时(0.3%),股票价格的波动性是最大的。同时,印花税调整,短期内可以引起波动性的增加,而且上调印花税比下调印花税引起的波动性更为显著。
第五,印花税税率对于流动性的影响显著为负,印花税税率提高会造成市场流动性会变差;印花税的调整对于对流动性的影响存在显著的不对称性:印花税上调的流动性变化明显大于印花税下调时,且印花税上调时对流动性影响的反应更为迅速。
全文最后,总结理论和实证得到研究结果,就印花税和我国证券市场的关系,向监管者提出了相关建议,并针对本文的不足对未来的研究提出展望。
It has been over ten years since the stock exchange stamp tax was first brought into China. In these ten years, the tax rate has been fluctuated many times and it is very obviously that these adjustments of tax rate have worked out on the stock market to some extent. The rise of the stamp tax rate may control the overheated market, and the fall may cheer up the market.
As the development of the stock market in our country, more and more emphasis has been put on the effectively of the policy of financial supervision. Concerning the performance of the market, the adjustments of stamp tax rate affect the whole mechanism in a multiple way. A review of the literatures about stamp tax rate home and abroad shows that most researches focus on the impact given to the fluctuation of stock price by the adjustment of stamp tax rate, but few on the relations between stamp rate and the market operational performance.
The experiences of stock market in various countries show that it is an effective way for the supervisors of a state to regulate the stock market, to adjust the exchange cost of the stock market at right times. But in our country, a unified knowledge about the relations between stamp tax rate and market operational performance hasn't been reached, while in the practice the stamp tax policy has taken on too much responsibilities of market regulation. Therefore, both theoretical and empirical study focus on the relations between stamp tax rate and market operational performance are needed.
These kind of research can help to find out the inner mechanisms of how the stock price forms, hence provide a theoretical basis for policies promoting rational investments, protecting the investor' interests and improving the stock market. In a word, the research of relations between stamp tax rate and the market operational performance is very important for scholars to deepen the knowledge of stock market in our country, which could provide more instructions of the sound development of the stock market.
This paper focuses on the questions below: Firstly, which indicates of the market operational performance does stamp tax affect? Secondly, concerning the present mechanism of stamp tax, will there be a rate that makes the best market operational performance? Thirdly, will there be the best way of collecting? Fourthly, what is the relation between the stamp tax rate in our country and the volatility? Lastly, what's the relation between stamp tax rate and the liquidity? Findings of this paper provide conclusions below:
Firstly, stamp tax is a significant representation of the low cost indicates, and has very strong correlation with the liquidity indicates and the stability indicates, with a weak correlation with the effectively indicate, transparency indicate and safe indicate. Therefore, this paper mainly focuses on the effect on liquidity and volatility.
Secondly, the stamp tax rate has been fluctuated from 0.1% to 0.6%.When the rate is 0.1%, the market operational performance is best, with the highest liquidity and the lowest volatility; when the rate is between 0.3% and 0.4%; the operational performance is the worst, with the lowest liquidity and the highest volatility. Presently, the stamp tax rate in our country is collected at 0.3%.It is the worst judging from the performance.
Thirdly, different ways of collecting taxes has different impact on the market operational performance. Theoretically, the fall of volatility demands taxes from sellers, while the rise of liquidity demands taxes from buyers. But according to the results of the numerical simulation, stamp taxes from sellers only can bring down the volatility but doesn't affect the liquidity. So, stamp taxes from sellers only can improve the market operational performance.
Fourthly, stamp tax has unsymmetrical correlation with volatility, which involves the unsymmetrical impact on volatility by different rates, and the adjustments of the rates. The correlation is not linear. When the stamp tax rate locates in the middle, the volatility of the stock price is the highest. Meanwhile, the adjustments of the stamp tax rate will raise the volatility in a short time. And the rise of the rate has a more significant impact than the fall.
Lastly, stamp tax rate has a significant minus impact on the liquidity. The rises of the rate bring down the liquidity in the market. The impact is unsymmetrical: the change of liquidity caused by the rate rise exceeds much that caused by the fall, and the impact on liquidity of rate rise is more rapid.
The results of this paper provide suggestions of the relation between stamp tax rates and the stock market to the supervisors, also some possible ways of the researches in the future.
引文
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