The Impact of Securities Transaction Taxes on the Chinese Stock Market
AbstractThis paper analyzes the impact of changes in the securities transaction tax (STT) rate on the local A-share market in China. We find that, on average, a 22-basis-point increase in the STT rate is associated with about a 28 percent drop in trading volume, and a 17-basis-point reduction in the STT rate is associated with about an 89 percent increase in trading volume in the Chinese A-share market. Both increases and reductions in the STT rate result in significant increases in market volatility. In addition, increases in the STT rate have mixed effects on market efficiency, either improving or curbing it. Reductions usually either make the market less efficient or have no effect on it. The empirical results show that levying the STT on trading is not an effective tool to regulate the stock market, at least not in this emerging market.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 47 (2011)
Issue (Month): 0 (January)
Contact details of provider:
Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
market volatility; securities transaction tax; stock market;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Olivier Damette, 2013. "Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment," Working Papers of BETA 2013-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).
If references are entirely missing, you can add them using this form.