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:2003-01-09:(1976-),,,(1958-),,,,20036(276)JournalofFinancialResearchNo.6,2003GeneralNo.276(,,200135100013):,,,,,(AB),GARCH,,A,A,,,,,:;GARCH:F830.91:A:1002-7246(2003)06-0038-08,Tobin(1974,1978)Stiglitz(1989);JacksonODonnell(1985),2%1%,70%;LindgrenWestlund(1990)EricssonLindgren(1992),,150%70%,,:Kupiec(1991)Umlauf(1993)BarrSellin(1996),SaportaKan(1997),,83,,1,,,,,ABAB,,,,,,Stiglitz(1989)SummeranandSummers(1989),,;,Kupiec(1996)Stulz(1994)1:H0:H=L,(2.1),H();L(),,2002,45,51,(announcementeffect)2:H0:rt=0.(2.2),rt120,(Granger,1992),,Bollerslev(1986)GARCH()Engle(1982)ARCH(),Engle(1982)ARCH,t|t-1:N(0,ht),tt, t-1t-1:ht=0+12t-1++q2t-q,Engle(1982)q,Bollerslev(1986)GARCHGARCHARCH,ARCHGARCH(p,q):ht=0+qi=1i2t-i++pi=1iht-i=0+A(L)2t+B(L)ht,(2.3)93GARCHGARCHtq,LMGARCH,LM=NR2,N,R2LMx2(q)LM,GARCH:GARCH,GARCH:lnL=Tt=1-12[ln(2)+ln2+2t2t].(2.4),,199751219986122001116,,,4,120,120,30,30100,rt=100ln(pt/pt-1)HiemstraJones(1994),GARCH,1d1,1,0100,,,AB1.1A,30120,FP10%,10%,A,A1A97.5.120.3%-0.5%98.6.120.5%-0.4%01.11.160.4%-0.2%301203012030120FP0.0080.03920.0640.00081.92E-051.52E-092.2A1,A04A30,19971998A,2001A;120,19972001A,1998A2A97.5.120.3%-0.5%98.6.120.5%-0.4%01.11.160.4%-0.2%301203012030120FP0.01890.16740.0020.0010.56880.6513.3B30,2001B,B;120,1998B,B3B97.5.120.3%-0.5%98.6.120.5%-0.4%3012030120Fp0.2670530.0159430.5608930.42502799.6.10.4%-0.3%01.11.160.3%-0.2%3012030120Fp0.2328030.0118910.0371285.02E-054.4BB,30120,1998B,B4B97.5.120.3%-0.5%98.6.120.5%-0.4%3012030120Fp0.0190060.0001160.3536170.6387091499.6.10.4%-0.3%01.11.160.3%0.2%3012030120Fp0.0090636.67E-050.0221300.0011135.AB,:AB,;AB,301206.,5,2001120,30120,AA,A5AB97.5.1298.6.12AB:0.3%-0.5%AB:0.5%-0.4%3012030120Fp0.0076820.0396390.0641580.00047899.6.101.11.16A:;B:0.4%-0.3%A:0.4%-0.2%;B:0.3%-0.2%3012030120Fp0.0407383.06E-062.23E-050.7637566.6,1997120,,5%,1999B30,AA,A246AB97.5.120.3%-0.5%98.6.120.5%-0.4%3012030120Fp0.0141560.1264250.0030390.0007699.6.1A:;B;0.4%-0.3%01.11.16A:0.4%-0.2%;B:0.3%-0.2%3012030120Fp0.0970054.52E-070.00020.5612317.,GARCH7GARCH,GARCH,ARCHGARCH,ARCHGARCH,GARCHARCH,GARCH90,,,,,B4,B,A32,1998,1997A,,,,19970,AGARCH,7ARCH-GARCHhtCARCH(1)GARCH(1)LSZZ1JDUMMYAht-11.15(-7.11)+0.39(4.20)-0.04(-0.54)+0.77(7.34)0.39(3.20)Aht-1.33(-2.00)+0.44(5.66)+0.11(1.74)+0.10(2.21)+0.02(0.47)Aht0.60(3.74)-0.02(-15.68)+1.01(228.44)-0.04(-3.70)-0.01(-3.63)Bht0.01(1.45)+0.15(1.64)+0.60(2.06)-1.24E-06(-1.33)-4.57E-06(-1.86E-05)Bht-5.08(-4.35)+0.24(2.27)+0.21(1.28)0.47(4.41)+0.07(0.76)Bht-2.81(-4.52)+0.15(2.28)+0.55(5.37)+0.26(4.49)-0.03(-0.76)34Bht-3.60(-3.75)+0.04(1.05)+0.56(5.57)+0.30(3.86)-0.05(-0.77)ht-10.05(-9.65)+0.36(3.93)+0.02(0.33)+0.72(9.68)+0.26(3.90)ht-1.72(-2.45)+0.47(5.78)+0.11(1.57)+0.12(2.62)+0.00(0.09)ht-5.68(-4.68)+0.09(1.79)-0.40(-1.84)+0.40(4.83)+0.11(1.02)ht0.10(4.19)+0.29(6.44)+0.69(22.39)-0.07(-4.23)+0.00(0.15):t;LSZZ1J;DUMMY,1,08.8GARCHGARCH,GARCH,,GARCHGARCHB,,B,A,,A,GARCH,,:;,GARCH,8ARCH-GARCHhtCARCH(1)GARCH(1)LSZZ1JDUMMYAht2.31(-0.80)+0.26(2.40)+0.42(2.41)+0.18(0.95)0.08(0.57)Aht-0.94(-1.13)+0.27(3.89)+0.19(1.68)+0.07(1.36)+0.07(1.31)Aht0.20(1.01)+0.04(0.95)+0.85(6.62)-0.01(-0.99)-6.80E-05(-0.01)Bht-2.18(-7.93)+0.29(3.28)+0.47(5.11)+0.23(7.91)-0.16(-2.37)Bht-6.25(-7.71)+0.15(2.30)+0.18(1.07)+0.61(7.72)+0.24(2.62)Bht-5.75(-3.92)+0.20(2.18)-0.02(-0.11)+0.62(4.10)-0.31(-1.42)Bht-6.96(-10.95)-0.05(-1.14)-0.02(-0.16)+0.62(11.01)+0.05(0.52)ht-4.17(-1.26)+0.31(2.67)+0.35(2.38)+0.30(1.40)+0.17(1.12)ht-0.64(-0.83)+0.31(3.90)+0.19(1.76)+0.05(1.06)+0.07(1.41)ht-1.80(-1.84)+0.49(4.94)+0.15(1.73)+0.13(2.00)+0.03(0.50)44ht0.68(2.44)+0.12(3.36)+0.87(28.30)-0.04(-2.40)-0.02(-2.33),,:1.AB,A,BGARCH,A2001,A98%,A;,B2.,1997A,;,GARCH,;,,,,,,1,2001,;,2,1997,,63BarclayMichaelJ.EugeneKandelandLeslieM.Marx,1998,TheEffectsofTransactionCostonStockPricesandTradingVol2ume,JournalofFinancialIntermediation7,130-150.4LindgrenR.andWestlundA.,1990,HowdidtransactioncostsontheStockholmstockexchangeinfluencetradeandpricevolatility?SknadianviskaEnskildaBankenQuarterlyReview,2,pp.30-35.5SaportaV.andKanK.,1997,TheEffectsofStampDutyonLevelandVolatilityofUKEquityPrice,BankofEngland,WorkingpaperAbstract:WiththequickdevelopmentofChinassecretariesmarket,thevalidityofinstrumenthasbeenmoreandmoreimportant.Fromthesystemeconomy,thefeesoftransactioncandoalottothewholesystem.Amongthis,thestampdutyandthefeesofintermediaryhavethemostimportantsta2tus.Butasstampdutyadjustmentiseasier,weshouldthinkitmoreimportant.Thispaperre2searchedthedataofChinassecuritiesmarketandgaveouttheconclusion:theinfluenceofstampdutyadjustmentonthemarketsyieldhastheresemblancewithAstockmarket,soAstockmarketcouldbeseenasthemainbodyofChinassecuritiesmarket.Finally,theincreaseordecreaseofstampdutycanchangethefluctuationofChinasstockmarket,sothegovernmentshoulddosomejobstoimprovethemarketefficiency.Keywords:stampduty,GARCHmodel(:)(:WJ)54