本文關(guān)鍵詞：基于投資者信念異質(zhì)的證券市場交易稅效應(yīng)研究　出處：《湖南大學》2013年博士論文　論文類型：學位論文

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【摘要】：市場交易成本，特別是證券市場交易稅(STT)是影響金融市場有效運行的重要因素之一。事實上，自金融危機爆發(fā)以來，政策制定者、實際操作者以及相關(guān)學者對征收市場交易稅以抑制金融投機的呼聲再起，引發(fā)爭議不斷。研究交易稅的實際經(jīng)濟效應(yīng)，分析市場對交易稅政策反應(yīng)的原因，從而評價證券市場交易稅政監(jiān)管效率，探索加強市場監(jiān)管有效性的途徑與方法，對于構(gòu)建更加合理的政府監(jiān)管機制、提高政策監(jiān)管水平，以有效促進證券市場乃至整個金融市場的健康發(fā)展，既是關(guān)乎國家金融穩(wěn)定的重要制度安排，也對保障經(jīng)濟的穩(wěn)定運行具有重要意義。 本文沿理論闡述、定性分析、定量研究的思路展開，從現(xiàn)代行為金融學的視角出發(fā)，在回顧并評述市場交易稅的基本理論和研究現(xiàn)狀的基礎(chǔ)上，將理論與實證相結(jié)合，通過非線性動態(tài)隨機模型并引入向量自回歸(VAR)、EGARCH計量檢驗、數(shù)據(jù)包絡(luò)分析(DEA)和Tobit回歸方法等，按照不同的時域特征對市場交易稅的實際經(jīng)濟效應(yīng)和效應(yīng)產(chǎn)生的原因分別進行探討。 首先針對市場交易稅制度的實際效應(yīng)分別從長期和短期兩方面進行考察。就長期效應(yīng)而言，本文運用具有非開放經(jīng)濟和金融摩擦特征的動態(tài)隨機一般均衡理論，從噪聲交易者異質(zhì)信念對市場均衡價格的影響出發(fā)，采用非線性動態(tài)隨機模型和SVAR模型分析市場交易稅對實體經(jīng)濟變量的長期影響。結(jié)果顯示，證券交易稅對實體經(jīng)濟的長期效應(yīng)分別類似于公司所得稅和貨幣政策、政府支出等政策沖擊對包括通貨膨脹、產(chǎn)出和就業(yè)的影響。證券交易稅雖然降低了經(jīng)濟波動，但是這種穩(wěn)定效應(yīng)在程度上有限。而就短期效應(yīng)而言，本文采用了中國證券市場日數(shù)據(jù)對證券市場交易稅政策調(diào)整的短期效果進行測度。研究表明，證券交易稅稅率上調(diào)對中國證券市場效率的影響是混合的，有時在一定程度上可以改善效率，而有時又抑制了效率。同時，研究沒能發(fā)現(xiàn)強有力的證據(jù)來印證證券交易稅稅率下降可以影響市場波動效率，盡管有幾次的樣本研究結(jié)果顯示市場效率得到降低。這主要是因為投資者對市場的基本面持有異質(zhì)信念，投資者的意見分歧和信念異質(zhì)可能會相互牽制和抵銷，并最終導(dǎo)致市場交易稅的凈效應(yīng)不明了。 然后，引入投資者異質(zhì)信念的思想，從投資者有限關(guān)注的視角，針對市場交易稅的長期經(jīng)濟效應(yīng)以及短期調(diào)整效應(yīng)進行深入的原因剖析，，從而更加全面地描述市場交易稅實際效應(yīng)形成的內(nèi)在機理�；诠餐畔愘|(zhì)信念和分類信息異質(zhì)信念的假設(shè)出發(fā)，實證檢驗結(jié)果論證了投資者異質(zhì)信念和交易稅費的內(nèi)生作用對交易稅政策調(diào)整實際效果的影響。 再后，為進一步探討至今仍存在爭議的證券市場監(jiān)管有效性問題，本文從現(xiàn)代行為金融觀點出發(fā)，采用兩階段DEA方法考察監(jiān)管與效率之間的關(guān)系，從而間接地對交易稅政監(jiān)管效度進行探究。在對包括銀行業(yè)特征、宏觀經(jīng)濟發(fā)展、金融發(fā)展狀況和市場結(jié)構(gòu)的環(huán)境變量進行控制后，實證結(jié)果顯示監(jiān)管變量與效率之間仍然存在顯著正相關(guān)關(guān)系。但是，證券交易稅稅率調(diào)整和監(jiān)管的頻率與效率之間分別存在負相關(guān)和不存在顯著關(guān)聯(lián)度。該實證結(jié)果為證明市場監(jiān)管有效性問題提供了實證支持，同時也為監(jiān)管政策的制定和選擇提供了參考依據(jù)。 最后，在上述研究成果基礎(chǔ)上，本文總結(jié)了研究結(jié)論，并為切實提高市場監(jiān)管有效性，加強監(jiān)管效果，從證券稅收制度創(chuàng)新、交易稅政監(jiān)管理念創(chuàng)新、交易稅政監(jiān)管政策時機選擇優(yōu)化、投資者信念協(xié)調(diào)、稅政顯著及納稅服務(wù)質(zhì)量完善、交易稅政監(jiān)管環(huán)境機制創(chuàng)新、證券產(chǎn)品創(chuàng)新等多方面，為提高中國證券市場監(jiān)管有效性提出政策建議。
[Abstract]:The transaction cost of the market, especially the stock market transaction tax (STT) is one of the important factors that affect the effective operation of the financial market. In fact, since the financial crisis, policy makers, operators and relevant scholars to collect the actual market transactions tax to curb financial speculation calls again, causing controversy. The practical research on the economic effect of trade tax, transaction tax policy response to the reason analysis of the market, so as to evaluate the securities market transaction tax policy supervision efficiency, explore the ways and methods of strengthening market supervision effectiveness, to build a more reasonable mechanism of government supervision, improve the regulatory policy level, in order to effectively promote the healthy development of the securities market and the financial market, an important system arrangement is the national financial stability, but also has important significance to ensure the stable operation of the economy.
This paper along the theory, qualitative analysis, quantitative research methods, from the perspective of modern behavioral finance perspective, based on the basic theory and research review and comment on the market transaction tax on the combination of theory and practice, through the nonlinear dynamic stochastic model and the vector autoregressive (VAR), EGARCH test, data envelopment analysis (DEA) and Tobit regression method, according to the different characteristics of the time domain causes of market transaction tax actual economic effect were discussed.
First of all according to the actual effect of market transaction tax system respectively from the two aspects of long-term and short-term investigation. The long-term effect, this paper has a non open economic and financial friction characteristics of the dynamic stochastic general equilibrium theory, starting from the noise traders effect of heterogeneous beliefs on the market equilibrium price, analysis of the nonlinear dynamic stochastic model and SVAR model effect of market transaction tax on real economic variables. The results showed that the long-term effect of the securities transaction tax on the real economy are similar to the corporate income tax and monetary policy, government expenditure policy impact on inflation, output and employment. The securities transaction tax while reducing the economic fluctuation, but the stabilizing effect in degree limited. While the short-term effect, the stock market data on China adjustment of the securities market transaction tax policy short To measure the effect. The study shows that the influence of securities transaction tax on Chinese securities market efficiency is mixed, sometimes to a certain extent, can improve the efficiency, and sometimes inhibition efficiency. At the same time, studies have failed to find strong evidence to prove the securities transaction tax rate decline can affect market volatility efficiency, although the results there are a few of the study shows that market efficiency is reduced. This is mainly because the fundamentals of the market investors hold heterogeneous beliefs, opinions and beliefs of heterogeneous investors may contain each other and offset, and eventually lead to the net effect of the market transaction tax is unknown.
Then, introducing the idea of investor heterogeneous beliefs of investors from the limited perspective, the long-term economic effects of market transaction tax and short-term effects of in-depth analysis, thus a more comprehensive description of the mechanism of forming the market transaction tax. The actual effect of common information of heterogeneous beliefs and classification information of heterogeneous beliefs based on the hypothesis that the effect of the empirical results demonstrate the investor heterogeneous beliefs and the endogenous transaction tax effect on transaction tax policy adjustment effect.
Then, in order to further explore the effectiveness of securities market regulation is still in dispute, this article from the behavioral finance perspective, examines the relationship between supervision and efficiency by using two stage DEA method, thus indirectly to explore transaction tax policy on regulatory validity. Including banking characteristics, macro economic development, control financial development and market structure of the environmental variables, the empirical results show that there are significant positive correlation between the regulatory variables and efficiency. However, negative correlation and no significant correlation exists between the frequency respectively and efficiency of securities transaction tax adjustment and supervision. The empirical results provide empirical support to prove the effectiveness of market regulation the problem, but also provide a reference for the formulation and selection of regulatory policy.
Finally, based on the research above, this paper summarizes the research conclusion, and to effectively improve the effectiveness of market supervision, strengthen the supervision effect, from the innovation of tax system of securities transaction tax administration, innovation supervision idea, transaction tax policy regulatory policy timing optimization, investor belief coordination, tax administration and tax service quality improved significantly. Transaction tax policy environment supervision mechanism innovation, the innovation of securities products and other aspects, in order to improve the proposed policy recommendations of the effective supervision of the securities market of China.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.51;F812.42

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