摘要：In 2007, the security transaction tax was adjusted suddenly in the stock market by the Chinese government. The impacts of these adjustments are found here by analysing the real data of daily prices and trading volumes before and after these adjustments. Results of a vector error correction model confirm that, the long and short run relationships between price and trading volume were distorted fundamentally. A seasonal ARIMA model on stock price and trading volume was employed to predict prices or volumes with and without STT adjustments to quantify the impacts of the adjustment on prices and trading volumes. The results show that, the adjustment reduces the stock price by 890.46 points and trading volume by 972 million of hundred units. Two GARCH (1,1) models used to assess the volatility changes of trading volumes indicate to the significance of price effects in reduction of volatility in the Chinese stock market.
关键词：Securities Transaction Tax Adjustment;Stock Market;VEC and SARIMA Models
