The Impact of Securities Transaction Taxes on the Chinese Stock Market

Yongyang Su () and Lan Zheng

Emerging Markets Finance and Trade, 2011, vol. 47, issue 0, 32-46

Abstract: This 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.

Keywords: market volatility; securities transaction tax; stock market (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=W775475358M18NL4 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The impact of the securities transaction taxes on the Chinese stock market (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:47:y:2011:i:0:p:32-46

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().