The impact of the securities transaction taxes on the Chinese stock market

Yongyang Su ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Securities transaction taxes; stock market; volatility; trading volume (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2010, Revised 2010-05-13
New Economics Papers: this item is included in nep-mst and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/22695/1/MPRA_paper_22695.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/26748/1/MPRA_paper_26748.pdf revised version (application/pdf)

Related works:
Journal Article: The Impact of Securities Transaction Taxes on the Chinese Stock Market (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22695

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