{"title":"Market responses to the China's transaction cost changes: An analysis of volatility dynamics","authors":"Zailin Xu , Xiaoyijing Chen , Mei Yu","doi":"10.1016/j.pacfin.2024.102598","DOIUrl":null,"url":null,"abstract":"<div><div>This paper analyzes the effects of China's fiscal tax policy changes. By exploring the immediate market responses and subsequent volatility, the study highlights the unanticipated nature of the tax hike and its significant impact on market dynamics. Using high-frequency trading data, the analysis demonstrates increased market volatility and reduced trading volumes following the tax adjustment. Comparative analysis with later adjustments in 2008 and 2023 further explains the differential impacts of such fiscal measures on various types of stocks. The findings emphasize the necessity for policymakers to consider market expectations and the specific characteristics of securities when implementing transaction taxes, suggesting approaches to reducing adverse market reactions and enhancing market stability.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"89 ","pages":"Article 102598"},"PeriodicalIF":4.8000,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X24003500","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
This paper analyzes the effects of China's fiscal tax policy changes. By exploring the immediate market responses and subsequent volatility, the study highlights the unanticipated nature of the tax hike and its significant impact on market dynamics. Using high-frequency trading data, the analysis demonstrates increased market volatility and reduced trading volumes following the tax adjustment. Comparative analysis with later adjustments in 2008 and 2023 further explains the differential impacts of such fiscal measures on various types of stocks. The findings emphasize the necessity for policymakers to consider market expectations and the specific characteristics of securities when implementing transaction taxes, suggesting approaches to reducing adverse market reactions and enhancing market stability.
期刊介绍：
The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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