中文摘要：

构建了证券交易税和证券利得税导致股票市场超额税收漏损效应的分析框架。实证结果表明：中国股市存在超额税收漏损效应。通过建立自回归分布滞后模型，发现漏损量通过滞后效应对股市规模产生了显著影响。格兰杰因果关系检验说明漏损量与股市规模存在双向的格兰杰因果关系。减税与增加分红是降低超额税收漏损效应的有效路径。

英文摘要：

The paper builds an analysis framework about the leakage effect of excess tax caused by securities transaction taxes and securities gain taxes. Empirical research shows that there is leakage effect of excess tax in Chinese stock market. By constructing an autoregressive dis- tributed lag model, the authors find out that leakage amount has significant influence on stock mar- ket scale through lag effect. Granger causality test shows that scale have two-way Granger causality relations. Cutting taxes an leakage amount and stock market d increasing dividends are effective ways to reduce leakage effect.