Peng, Zhe; Tang, Qiming; Wang, Kent - In: Emerging Markets Finance and Trade 50 (2014) 1, pp. 183-196
This paper studies how the last three adjustments of the stamp duty on stock transactions (SDST) have affected trading behavior on the Chinese stock market. To exclude other shocks from our event study, we focus only on the SDST's short-term effects. Based on an interval autoregressive (IAR)...