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本文运用2006年11月-2008年8月的股票交易高频数据,实证研究了2007年5月30日和2008年4月24日印花税两次不同方向的调整对于我国股票市场的交易量、买卖价差、价格波动性、以及价格有效性的影响。文章的结果证明,降低印花税税率可以增加股票的交易量,降低买卖价差,同时可以抑制股票价格的波动性,提高股票价格的有效性。因此,本文的实证结果为支持降低股票印花税提供了实证依据。
This article uses the high frequency data of stock exchange from November 2006 to August 2008 and empirically studies the adjustment of stamp duty in two different directions on May 30, 2007 and April 24, 2008. For the trading volume of our country’s stock market, Spread, price volatility, and the effect of price effectiveness. The results of the paper prove that reducing the stamp duty can increase the trading volume of stock and lower the bid-ask spread, meanwhile, it can restrain the volatility of stock price and increase the stock price’s validity. Therefore, the empirical results in this paper provide an empirical evidence to support the reduction of stock stamp duty.