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博碩士論文 etd-0623114-155248 詳細資訊
Title page for etd-0623114-155248
論文名稱
Title
課徵證券交易所得稅對臺灣股票市場投資人的影響
The Stock Markets Reaction to the Capital Gains Tax Overhaul: Evidence from Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
65
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2014-06-30
繳交日期
Date of Submission
2014-07-23
關鍵字
Keywords
異常週轉率、證券交易所得稅、事件研究、宣告效果、異常報酬率
Income tax, Abnormal turnover, Event studies, Capital gains tax, Abnormal return, Dividend yield
統計
Statistics
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中文摘要
臺灣政府於2012-2013年對證券交易所得稅進行所得稅法改革,2012年3月28日財政部宣告將復徵證券交易所得稅,又於2013年5月16日推出針對前一版本證券交易所得稅之修正法案,本研究使用事件研究法探討2012年及2013年臺灣證券交易所得稅稅改事件的宣告效果,透過觀察上市、上櫃以及興櫃市場股票異常報酬與異常週轉率於事件窗口之變化情形,比較各市場股票成交價量的異常變化以推論對股票市場投資人的影響,並藉由累積異常報酬與公司特性迴歸分析投資人面對加稅政策或減稅政策時偏好的股票特質與報酬來源。本研究結果彙整以下四點:
一、2012證券交易所得稅加稅政策被市場視為壞消息,宣告日後上市、上櫃及興櫃市場異常報酬率及異常週轉率降低,降低市場效率。
二、2013證券交易所得稅減稅政策被市場視為好消息,宣告日後異常報酬率及異常週轉率迅速增加,提高市場效率。
三、投資人面對加稅政策或減稅政策會做出不同的投資選擇,若市場上出現加稅的壞消息,投資人會傾向選擇規模較大、體質較佳的價值型股票;若出現減稅的好消息,投資人會傾向選擇規模較小、潛力較佳的成長型股票。
四、股東報酬來源包括股利收益與資本利得,面對加稅政策投資人偏好高股利收益的股票,面對減稅政策投資人偏好高資本利得的股票。
Abstract
For a very long time, individual investors in Taiwan did not have the responsibility to pay income tax on their net capital gains. After Tax Reform Committee announced the Tax Reform Act 2012 (TRA'12) which would impose tax on stock capital gains, included an 8500-point TAIEX threshold for individual investors, the economy immediately went from bad to worse. A year after, Taiwan government introduced an amendment to TRA'12, which in this paper we called Tax Reform Act 2013 (TRA'13), turning the individual investors to be exempt from capital gains tax just like before.
This paper examines daily stock return and share turnover reactions to the 2012-2013 capital gains tax overhaul. Using event study methodology, the analysis shows a significantly negative abnormal return and abnormal turnover in stock markets during the announcement date of TRA'12, which we infer to as a bad news; and there is a significantly positive abnormal return and abnormal turnover during the announcement date of TRA'13, which we infer to as good news. Besides, the empirical results indicate that investors change their stock-picking strategies when facing good news or bad news. They would invest in dividend-paying value stocks when there are bad news, and invest in growth stocks when there are good news. Besides investors would change their preferences between dividends and capital gains depending on the new tax rules.
目次 Table of Contents
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的與問題 5
1.3 研究架構 7
第二章 文獻回顧 8
2.1 證券交易所得稅對股票市場的影響 8
2.2 證券交易所得稅對投資人偏好的影響 9
2.3 事件研究法之沿革 10
第三章 研究方法 12
3.1 假說建立 12
3.2 實證模型設計 13
3.3 估計異常報酬率 16
3.4 估計異常週轉率 20
3.5 事件研究統計檢定 23
3.6 複迴歸分析 26
第四章 實證結果 31
4.1 資料來源與樣本篩選 31
4.2 股票累積異常報酬率 32
4.3 股票累積異常週轉率 37
4.4 累積異常報酬與公司特性迴歸分析 42
第五章 結論與建議 52
參考文獻 54
附 錄 57
參考文獻 References
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