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16Forum17lsΓΓΓssssqqqsqsForum18ΓsΓsqΓsqΓsllqΓsΓslΓslqllqΓsΓslΓslqllΓslqllqΓslqllqlqlllqlllssqsqsb1qb1sqslΓslqlqb1slΓslqb1]llqb1lForum19b1ssqsqsb2qb2sqsqb2slΓsl[qb2]lqslΓslqllqb1lsg0g1s1gg31(4)sg0g1s1gg30(5)Forum20sg0g1s1gg32(6)sg0g1s1gg33(7)lj1g0g1j1glllForum21AllenB.Atkins,EdwardA.Dyl.StockPriceVolatility,TransactionsCostsandSecuritiesTransactionsTaxes.ManagerialandDecisionEconomics,1997.Vol.18,No.7/8,pp.709-718.CharlesM.Jones.PaulJ.Seguin.TransactionCostsandPriceVolatilityEvidencefromCommissionDeregulation.TheAmericanEconomicReview,1997.Vol.87,No.4.,pp.728-737.(3)Grundfest,JosephA.andShoven,JohnB.AdverseImplicationsofaSecuritiesTransactionsExciseTax.JournalofAccounting,AuditingandFinance,Fall19916(4):409-420.(4)JohnY.CampbellandKennethA.Froot.InternationalExperienceswithSecuritiestransactiontaxes,inFrankel,J(ed.),TheInternationalizationofEquityMarket,UniversityofChicagoPress.1994.Kupiec,PH.ASecuritiesTransactionsTaxandCapitalMarketEfficiency.ContemporaryEconomicsPolicy,1995(13):101-112.Kupiec,PH.ANoiseTrader,ExcessVolatility,andaSecuritiesTransactionsTax.JournalofFinancialServicesResearch,1996(10):115-129.Stiglitz,JosephE.UsingTaxPolicytoCurbSpeculativeShort-TermTrading.JournalofFinancialServicesResearch,1989(3):101-15.Tobin,J.OntheEfficiencyoftheFinancialSystem.Lloyd'sBankReview,1984(153),1-15.Umlauf,S.theTransactionTaxesandtheBehaviorofSwedishStockMarket.JournalofFinancialEconomics.1993(33):227-240.TheAsymmetricEffectsofStampTaxontheMarketVolatilitythetheoreticalandempiricalstudybasedonbehavioralfinancemodelHongzhongLiu&YangqiuYuAbstract:Bymeansofmean-varianceutilityfunction,thepaperhassetupatwo-periodbehavioralfinancemodelincludingrationaltradersandnoisetraders.Theconclusionisthattherearetwokindsofasymmetriceffectsofstamptaxonthevolatility:(1)thehighestvolatilityisconnectedtoamedium-levelstamptax,whilethelowestvolatilityliesinlowandhighstamptaxlevels;(2)boththehikeandcutofstamptaxwillresultinhighervolatility,butthevolatilityismuchhigherwhenahikeoccurs.ThenourempiricaltestoftheabovetwohypothesesusingChinesedatabetween1990and2007ledtopositiveresults.Keywords:BehavioralfinanceStamptaxMarketvolatilityAsymmetriceffectsForum