本文關(guān)鍵詞： 市場效率 印花稅 GARCH　出處：《數(shù)理統(tǒng)計與管理》2014年01期 　論文類型：期刊論文

【摘要】：本文立足于市場效率的視角探索印花稅調(diào)整政策對我國股票市場的影響,通過基于隨機(jī)游走的弱式效率分析方法考察印花稅政策調(diào)整公告前后市場的效率特征,建立包含時間開關(guān)變量的GARCH模型探究政策公告前后市場效率結(jié)構(gòu)的變化,運(yùn)用帶有滑動窗的方差比檢驗方法進(jìn)一步分析市場效率的演進(jìn)路徑。結(jié)果顯示,印花稅調(diào)整政策公告會引起市場效率結(jié)構(gòu)的顯著改變,政策調(diào)整公告后的短期內(nèi)會出現(xiàn)顯著的市場效率提升,然而公告前卻會出現(xiàn)市場效率的較大降低.
[Abstract]:Based on the perspective of market efficiency, this paper explores the impact of stamp duty adjustment policy on China's stock market, and investigates the market efficiency characteristics before and after the announcement of stamp duty policy adjustment through a weak efficiency analysis method based on random walk. A GARCH model with time-switching variables is established to explore the changes of market efficiency structure before and after the policy announcement. The variance ratio test with sliding window is used to further analyze the evolution path of market efficiency. The results show that the announcement of stamp duty adjustment policy will cause significant changes in market efficiency structure. After the announcement of policy adjustment, there will be a significant increase in market efficiency in the short term, but there will be a great decrease in market efficiency before the announcement.
【作者單位】： 山西大學(xué)管理學(xué)院;
【基金】：教育部人文社會科學(xué)研究項目(07JA630027) 山西省人文社科重點研究基地項目(2011305)
【分類號】：F832.51;F812.42;F224
【正文快照】： 0引言股票市場作為上市公司補(bǔ)充“血液”和調(diào)節(jié)資金配置e篤教，

本文編號：1465539