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本文立足于市场效率的视角探索印花税调整政策对我国股票市场的影响,通过基于随机游走的弱式效率分析方法考察印花税政策调整公告前后市场的效率特征,建立包含时间开关变量的GARCH模型探究政策公告前后市场效率结构的变化,运用带有滑动窗的方差比检验方法进一步分析市场效率的演进路径。结果显示,印花税调整政策公告会引起市场效率结构的显著改变,政策调整公告后的短期内会出现显著的市场效率提升,然而公告前却会出现市场效率的较大降低.
Based on the perspective of market efficiency, this paper explores the impact of stamp tax adjustment policy on China’s stock market. By investigating the efficiency of the market before and after the announcement of stamp tax policy adjustment based on the stochastic migration-based weak efficiency analysis method, this paper establishes a GARCH model inquiry policy The market efficiency structure before and after the announcement changes, the use of sliding window variance ratio test method to further analyze the evolution of market efficiency path. The results show that the announcement of the stamp duty adjustment policy will lead to a significant change in the market efficiency structure. There will be a marked increase in market efficiency in the short term after the announcement of the policy adjustment, however, there will be a large reduction in market efficiency before the announcement.