基于投资者信念异质的证券市场交易税效应研究
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摘要
市场交易成本，特别是证券市场交易税(STT)是影响金融市场有效运行的重要因素之一。事实上，自金融危机爆发以来，政策制定者、实际操作者以及相关学者对征收市场交易税以抑制金融投机的呼声再起，引发争议不断。研究交易税的实际经济效应，分析市场对交易税政策反应的原因，从而评价证券市场交易税政监管效率，探索加强市场监管有效性的途径与方法，对于构建更加合理的政府监管机制、提高政策监管水平，以有效促进证券市场乃至整个金融市场的健康发展，既是关乎国家金融稳定的重要制度安排，也对保障经济的稳定运行具有重要意义。
本文沿理论阐述、定性分析、定量研究的思路展开，从现代行为金融学的视角出发，在回顾并评述市场交易税的基本理论和研究现状的基础上，将理论与实证相结合，通过非线性动态随机模型并引入向量自回归(VAR)、EGARCH计量检验、数据包络分析(DEA)和Tobit回归方法等，按照不同的时域特征对市场交易税的实际经济效应和效应产生的原因分别进行探讨。
首先针对市场交易税制度的实际效应分别从长期和短期两方面进行考察。就长期效应而言，本文运用具有非开放经济和金融摩擦特征的动态随机一般均衡理论，从噪声交易者异质信念对市场均衡价格的影响出发，采用非线性动态随机模型和SVAR模型分析市场交易税对实体经济变量的长期影响。结果显示，证券交易税对实体经济的长期效应分别类似于公司所得税和货币政策、政府支出等政策冲击对包括通货膨胀、产出和就业的影响。证券交易税虽然降低了经济波动，但是这种稳定效应在程度上有限。而就短期效应而言，本文采用了中国证券市场日数据对证券市场交易税政策调整的短期效果进行测度。研究表明，证券交易税税率上调对中国证券市场效率的影响是混合的，有时在一定程度上可以改善效率，而有时又抑制了效率。同时，研究没能发现强有力的证据来印证证券交易税税率下降可以影响市场波动效率，尽管有几次的样本研究结果显示市场效率得到降低。这主要是因为投资者对市场的基本面持有异质信念，投资者的意见分歧和信念异质可能会相互牵制和抵销，并最终导致市场交易税的净效应不明了。
然后，引入投资者异质信念的思想，从投资者有限关注的视角，针对市场交易税的长期经济效应以及短期调整效应进行深入的原因剖析，从而更加全面地描述市场交易税实际效应形成的内在机理。基于共同信息异质信念和分类信息异质信念的假设出发，实证检验结果论证了投资者异质信念和交易税费的内生作用对交易税政策调整实际效果的影响。
再后，为进一步探讨至今仍存在争议的证券市场监管有效性问题，本文从现代行为金融观点出发，采用两阶段DEA方法考察监管与效率之间的关系，从而间接地对交易税政监管效度进行探究。在对包括银行业特征、宏观经济发展、金融发展状况和市场结构的环境变量进行控制后，实证结果显示监管变量与效率之间仍然存在显著正相关关系。但是，证券交易税税率调整和监管的频率与效率之间分别存在负相关和不存在显著关联度。该实证结果为证明市场监管有效性问题提供了实证支持，同时也为监管政策的制定和选择提供了参考依据。
最后，在上述研究成果基础上，本文总结了研究结论，并为切实提高市场监管有效性，加强监管效果，从证券税收制度创新、交易税政监管理念创新、交易税政监管政策时机选择优化、投资者信念协调、税政显著及纳税服务质量完善、交易税政监管环境机制创新、证券产品创新等多方面，为提高中国证券市场监管有效性提出政策建议。
As is evident from its influence on transaction costs in the financial market,securities transaction tax (STT) imposes a significant effect on the efficiency of thefinancial markets. Indeed, in reaction to the recent financial crisis increased attentionhas recently been given to STT as a means of helping to curb financial market excessesby the policy makers, practioners as well as the academicians. Research on the realeconomic effects of STT, acquiring its interpretation, further measuring the transactiontax policy regulation effectiveness and exploring advanced approaches to enhanceregulation efficiency, are vital to constructing more effective regulatory policies andimproving the govenmental intervention efficiency, eventually promoting thedevelopment of the security market and the financial market. It is about a necessarysystem arrangement related to the stability of the national finance security, and whichcan also gurantee the smooth operation of the economy.
This paper presents following the way of existing theory introduction, qualitativeanalysis and quantitative study. From the perspective of modern behavioral finance andbased on the review and comments of basic theory, related research, and internationalexperiences of STT, the paper attempts to figure out the causes and effects of STT withthe methodology of theoretical and quantitative approaches.The paper employsnonlinear dynamic stochastic model and econometric models like structural vectorautoregression(SVAR), exponential GARCH model, data envoloping analysis(DEA)and Tobit regression method, and acquires several important conclusions.
Firstly, the paper studies the real economic effects of STT from long-term andshort-term stages. With the help of dynamic stochastic general-equilibrium theoreticalmodel featuring closed economy and financial frictions, it examines the effects of STTin the long time. The paper describes the mechanism analysis of noise traders’heterogeneous beliefs and market equilibrium price, followed by the demonstration offinal effects of STT to the macroeconomic variables, employing a comparative studywith the structural VAR method and dynamic numetric model. The findings suggestdistortive effects of the STT on real variables similar to those of corporate incometaxation, monetary policy change shock and governmental expenditure shock. With thedaily data in the stock market in China, the paper furthermore analyzes the short-termimpact of changes in the STT on the market. We find that the empirical results for the increase in the STT rate are mixed, either improving market efficiency or curbing it.Reductions ususally either make the market less efficient or have no effect at all. It isinvestors’ opinion diagreements and hetergeneous beliefs to the market fundamentalsoffsetting each other that could exert possible significant impacts on the net effects of aSTT rate change.
Secondly, introducing the idea of investor heterogeneous beliefs, from theperspective of investors’ limited attention the paper deeply analyzes the causes of thelong-term and short-term effects of STT, for more comprehensive description of theinner mechanism of the actual impact of STT on the market transactions. Based on thehypothesis of heterogeneous beliefs on common information and the categoricalinformation, the empirical test results indicates that the endogenous interactions ofinvestors heterogeneous beliefs and STT guarantee the influences of a STT change onthe market.
Thirdly, the paper addresses the efficacy problem of securities market regulation,which is still a controversial issues in the academics, from the modern behavioralfinance, using the two-stage DEA method review the relation between regulation andefficiency, and thus indirectly to explore transaction tax policy regulatory validity. Itestimates several specifications while controllinig for bank-specific attributes andenvironmental variables accounting for macroeconomic conditions, financialdevelopment market structure. In most cases, the results provide evidence in favour ofthe significant relation between regulatory variables and efficacy of stock marketregulation. However, the STT rate change is negatively related to regulations efficiencyand regulation frequency is not significantly related to efficiency. The results provideempirical support to prove the market regulation effectiveness in the behavioral financeview, as well as reference for the decision-making and selection of regulatory policy.
Finally, it comes to the wrapping up of the conclusions based on the above researchresults. And the paper also puts forward some recommendations for policy makers, suchas the securities tax innovation, regulatory beliefs innovation of transaction tax policy,timing optimization of transaction tax regulatory policy, investors beliefs coordination,transaction tax salience as well as tax service improvement, mechanism innovation ofthe securities regulatory environment and other aspects, to improve China’s securitiesmarket regulation effectiveness, strengthening market supervision effect.
本文沿理论阐述、定性分析、定量研究的思路展开，从现代行为金融学的视角出发，在回顾并评述市场交易税的基本理论和研究现状的基础上，将理论与实证相结合，通过非线性动态随机模型并引入向量自回归(VAR)、EGARCH计量检验、数据包络分析(DEA)和Tobit回归方法等，按照不同的时域特征对市场交易税的实际经济效应和效应产生的原因分别进行探讨。
首先针对市场交易税制度的实际效应分别从长期和短期两方面进行考察。就长期效应而言，本文运用具有非开放经济和金融摩擦特征的动态随机一般均衡理论，从噪声交易者异质信念对市场均衡价格的影响出发，采用非线性动态随机模型和SVAR模型分析市场交易税对实体经济变量的长期影响。结果显示，证券交易税对实体经济的长期效应分别类似于公司所得税和货币政策、政府支出等政策冲击对包括通货膨胀、产出和就业的影响。证券交易税虽然降低了经济波动，但是这种稳定效应在程度上有限。而就短期效应而言，本文采用了中国证券市场日数据对证券市场交易税政策调整的短期效果进行测度。研究表明，证券交易税税率上调对中国证券市场效率的影响是混合的，有时在一定程度上可以改善效率，而有时又抑制了效率。同时，研究没能发现强有力的证据来印证证券交易税税率下降可以影响市场波动效率，尽管有几次的样本研究结果显示市场效率得到降低。这主要是因为投资者对市场的基本面持有异质信念，投资者的意见分歧和信念异质可能会相互牵制和抵销，并最终导致市场交易税的净效应不明了。
然后，引入投资者异质信念的思想，从投资者有限关注的视角，针对市场交易税的长期经济效应以及短期调整效应进行深入的原因剖析，从而更加全面地描述市场交易税实际效应形成的内在机理。基于共同信息异质信念和分类信息异质信念的假设出发，实证检验结果论证了投资者异质信念和交易税费的内生作用对交易税政策调整实际效果的影响。
再后，为进一步探讨至今仍存在争议的证券市场监管有效性问题，本文从现代行为金融观点出发，采用两阶段DEA方法考察监管与效率之间的关系，从而间接地对交易税政监管效度进行探究。在对包括银行业特征、宏观经济发展、金融发展状况和市场结构的环境变量进行控制后，实证结果显示监管变量与效率之间仍然存在显著正相关关系。但是，证券交易税税率调整和监管的频率与效率之间分别存在负相关和不存在显著关联度。该实证结果为证明市场监管有效性问题提供了实证支持，同时也为监管政策的制定和选择提供了参考依据。
最后，在上述研究成果基础上，本文总结了研究结论，并为切实提高市场监管有效性，加强监管效果，从证券税收制度创新、交易税政监管理念创新、交易税政监管政策时机选择优化、投资者信念协调、税政显著及纳税服务质量完善、交易税政监管环境机制创新、证券产品创新等多方面，为提高中国证券市场监管有效性提出政策建议。
As is evident from its influence on transaction costs in the financial market,securities transaction tax (STT) imposes a significant effect on the efficiency of thefinancial markets. Indeed, in reaction to the recent financial crisis increased attentionhas recently been given to STT as a means of helping to curb financial market excessesby the policy makers, practioners as well as the academicians. Research on the realeconomic effects of STT, acquiring its interpretation, further measuring the transactiontax policy regulation effectiveness and exploring advanced approaches to enhanceregulation efficiency, are vital to constructing more effective regulatory policies andimproving the govenmental intervention efficiency, eventually promoting thedevelopment of the security market and the financial market. It is about a necessarysystem arrangement related to the stability of the national finance security, and whichcan also gurantee the smooth operation of the economy.
This paper presents following the way of existing theory introduction, qualitativeanalysis and quantitative study. From the perspective of modern behavioral finance andbased on the review and comments of basic theory, related research, and internationalexperiences of STT, the paper attempts to figure out the causes and effects of STT withthe methodology of theoretical and quantitative approaches.The paper employsnonlinear dynamic stochastic model and econometric models like structural vectorautoregression(SVAR), exponential GARCH model, data envoloping analysis(DEA)and Tobit regression method, and acquires several important conclusions.
Firstly, the paper studies the real economic effects of STT from long-term andshort-term stages. With the help of dynamic stochastic general-equilibrium theoreticalmodel featuring closed economy and financial frictions, it examines the effects of STTin the long time. The paper describes the mechanism analysis of noise traders’heterogeneous beliefs and market equilibrium price, followed by the demonstration offinal effects of STT to the macroeconomic variables, employing a comparative studywith the structural VAR method and dynamic numetric model. The findings suggestdistortive effects of the STT on real variables similar to those of corporate incometaxation, monetary policy change shock and governmental expenditure shock. With thedaily data in the stock market in China, the paper furthermore analyzes the short-termimpact of changes in the STT on the market. We find that the empirical results for the increase in the STT rate are mixed, either improving market efficiency or curbing it.Reductions ususally either make the market less efficient or have no effect at all. It isinvestors’ opinion diagreements and hetergeneous beliefs to the market fundamentalsoffsetting each other that could exert possible significant impacts on the net effects of aSTT rate change.
Secondly, introducing the idea of investor heterogeneous beliefs, from theperspective of investors’ limited attention the paper deeply analyzes the causes of thelong-term and short-term effects of STT, for more comprehensive description of theinner mechanism of the actual impact of STT on the market transactions. Based on thehypothesis of heterogeneous beliefs on common information and the categoricalinformation, the empirical test results indicates that the endogenous interactions ofinvestors heterogeneous beliefs and STT guarantee the influences of a STT change onthe market.
Thirdly, the paper addresses the efficacy problem of securities market regulation,which is still a controversial issues in the academics, from the modern behavioralfinance, using the two-stage DEA method review the relation between regulation andefficiency, and thus indirectly to explore transaction tax policy regulatory validity. Itestimates several specifications while controllinig for bank-specific attributes andenvironmental variables accounting for macroeconomic conditions, financialdevelopment market structure. In most cases, the results provide evidence in favour ofthe significant relation between regulatory variables and efficacy of stock marketregulation. However, the STT rate change is negatively related to regulations efficiencyand regulation frequency is not significantly related to efficiency. The results provideempirical support to prove the market regulation effectiveness in the behavioral financeview, as well as reference for the decision-making and selection of regulatory policy.
Finally, it comes to the wrapping up of the conclusions based on the above researchresults. And the paper also puts forward some recommendations for policy makers, suchas the securities tax innovation, regulatory beliefs innovation of transaction tax policy,timing optimization of transaction tax regulatory policy, investors beliefs coordination,transaction tax salience as well as tax service improvement, mechanism innovation ofthe securities regulatory environment and other aspects, to improve China’s securitiesmarket regulation effectiveness, strengthening market supervision effect.
引文
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