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| Title: | 證券交易所得稅與證券交易稅對股票價格的影響─時間序列分析法的應用
The Effect of Capital Gains Tax and Transaction Tax on Stock Price - A Time Series Analysis |
| Authors: | 黃寶慧
Huang, Pao-Hui |
| Contributors: | 毛慶生
Mao, Ching-Sheng
黃寶慧
Huang, Pao-Hui |
| Keywords: | 證券交易所得稅
證券交易稅
股票價格
股票報酬率
週轉率
ARCH-M模型
capital gains tax
transaction tax
stock price
stock return
turnover rate
ARCH-M model |
| Date: | 2000 |
| Issue Date: | 2009-09-18 17:21:24 (UTC+8) |
| Abstract: | 本研究第一部份為確定性的資產訂價模型，探討證券交易所得稅與證券交易稅對股票價格的影響。如同資產價格方程式，其均衡價格為未來各期股利之貼現值的總和。所不同的是一般資產價格方程式之貼現率即為市場利率，但本研究特別引進資產存量動態調整方程式與政府預算限制式，說明除了市場利率以外，強調證券交易所得稅、證券交易稅與代表性個人之週轉率均為影響貼現率的主要因素。由於模型描述代表性個人具有遠瞻(forward-looking)的特性，所以當期暫時性的稅率變動不會影響股票價格，會影響股票價格的只有未來的租稅政策。另外，本研究亦得到與李嘉圖定理相似的中立性假說：只要租稅現值保持固定不變，即使資本利得稅與證券交易稅如何調整與變動，都不會影響其均衡價格。
為了瞭解股票週轉率的函數型態。假設其為下一期股票報酬率與租稅的函數，以台灣地區1982年1月至2001年1月的月資料，使用兩階段的研究方法分別探討租稅對股票報酬率與週轉率的影響，目的是確認：租稅除了會直接的影響股票價格外，是否會透過週轉率而間接的影響股票價格。因此本研究第二部份摒除週轉率與政府政策為外生的假設，另以實證分析租稅對股票報酬率與週轉率的影響，以補基本理論模型之不足，並進行有趣議題之分析。
首先由Ganger因果關係檢定得知：週轉率領先於政府訂定的證券交易稅稅率，亦即週轉率過去的落遲項會影響到當期的證券交易稅稅率；且由相關係數得知二者呈正相關。故政府訂定的證券交易稅稅率視過去的週轉率而定，過去的週轉率愈高，政府當期訂定的證券交易稅稅率愈高，以企圖抑制股市的不健全發展。再者，由於台灣股票報酬率的時間序列資料具有自我迴歸條件非均齊變異數(autoregressive condition heteroskedasticity，簡稱ARCH)的現象，故異於其他相關研究的實證方法，另經由比較各種ARCH族模型的實證結果，選取出一套考慮風險貼水(risk premium)之最佳配適的兩階段ARCH(1)-M模型進行實證分析。
實證結果顯示：任何一個ARCH(1)-M的模型，皆存在顯著的風險貼水效果。而預期未來的與當期的證券交易稅對當期的股票報酬率均為直接的負面影響，但以前者影響較為顯著，後者的影響則視顯著水準而定，因此政府調降或調高當期的證券交易稅稅率，與股市之榮枯並無確定性的直接關係，此結果與一般學者的觀點不謀而合。此外，當期的週轉率租稅彈性為-0.0646，其值顯著為負，且絕對值小於一，表示缺乏彈性，雖然租稅會間接地透過週轉率影響股票價格，但影響並不大，而且政府若鑒於過去的週轉率太高，要以租稅抑制當期的股市投機風氣，其成效亦不彰。至於證券交易所得稅因宣告(或施行)的期間極為短暫，故對當期的股票報酬率影響不顯著。換言之，風險趨避程度、證券交易稅、預期報酬率、週轉率與股票價格之間具有相互連動的關係。是故，證券交易稅對股票價格的影響，視風險趨避程度、證券交易稅稅率、週轉率之租稅彈性與週轉率之預期報酬彈性而定。
除此以外，本研究第三部份亦考慮政策的不確定性與政策的變動以建立不確定性的資產訂價模型，模擬分析結果顯示：若原先政府施行的租稅過程愈具持續性，則一旦政府的租稅政策瞬間改變時，投資人愈無法將股票價格-股利比值對租稅的反應，事先地考慮於股票投資的決策當中，所以租稅政策衝擊的反應較大。簡言之，投資人預期的稅率與實際施行的新稅率愈相近時，租稅政策衝擊的反應最小。因此第三部份的結果亦與第一部份的基本數學模型(認為當期暫時性之稅率變動不會影響當期的股票價格)，以及第二部份的實證結果(發現當期證券交易稅稅率變動與當期股市之榮枯並無確定性之關係)相一致。
第一章 緒論……………………………………………………………………001
1.1 研究動機與目的………………………………………………………001
1.2 研究方法………………………………………………………………004
1.3 研究結構………………………………………………………………011
第二章 我國證券交易課稅制度沿革…………………………………………014
2.1 我國證券交易所得稅制度沿革………………………………………014
2.2 我國證券交易稅制度沿革……………………………………………021
2.3 各國證券交易課稅制度比較…………………………………………024
第三章 證券交易課稅的文獻探討……………………………………………031
3.1 證券交易所得稅的文獻探討…………………………………………031
3.1.1 關於證券市場的文獻探討……………………………………031
3.1.2 關於投資及儲蓄的文獻探討…………………………………040
3.1.3 關於經濟效益的文獻探討……………………………………042
3.1.4 關於稅制及稅收的文獻探討…………………………………046
3.2 證券交易稅的文獻探討………………………………………………050
3.2.1 國外文獻探討…………………………………………………050
3.2.2 國內文獻探討…………………………………………………053
第四章 確定性的資產訂價模型……………………………………………… 058
4.1 基本理論模型…………………………………………………………058
4.2 租稅效果………………………………………………………………064
4.3 中立性的假說…………………………………………………………069
第五章 台灣實證研究—資料處理與分析…………………………………… 073
5.1 資料來源與說明………………………………………………………074
5.2 檢定……………………………………………………………………076
5.2.1 單根檢定—ADF 檢定…………………………………………076
5.2.2 常態分配檢定…………………………………………………080
5.2.3 自我相關檢定—Ljung-Box Q(L-B Q)檢定…………………081
5.2.4 序列相關 LM 檢定……………………………………………082
5.2.5 ARCH LM 檢定…………………………………………………082
5.2.6 Granger 因果關係檢定………………………………………086
5.2.7 當期股票報酬率與未來各期證券交易稅稅率的相關係數…093
第六章 台灣實證研究—兩階段 ARCH 族實證模型………………………… 095
6.1 基本條件平均數方程式的設定與分析………………………………095
6.1.1 傳統自我迴歸模型……………………………………………095
6.1.2 自我迴歸模型的殘差分析……………………………………096
6.2 條件變異數方程式的設定……………………………………………101
6.2.1 ARCH 模型……………………………………………………102
6.2.2 ARCH-M 模型…………………………………………………103
6.3 估計方法與檢定………………………………………………………105
6.4 第一階段之股票報酬率的 ARCH 族模型估計與分析………………106
6.4.1 實證模型………………………………………………………106
6.4.2 實證結果與分析………………………………………………113
6.5 兩階段模型的估計與分析……………………………………………114
6.5.1 實證模型………………………………………………………114
6.5.2 實證結果與分析………………………………………………119
第七章 不確定性的資產訂價模型…………………………………………… 130
7.1 不確定性的租稅政策與政策變動……………………………………130
7.2 模型的模擬與分析……………………………………………………136
第八章 結論與未來的研究方向………………………………………………151
8.1 結論……………………………………………………………………151
8.2 未來的研究方向………………………………………………………155
附錄A 股票價格函數滿足終極條件的證明…………………………………158
附錄 B 股票價格函數為單一固定點的證明…………………………………160
參考文獻…………………………………………………………………………163
This paper works out the effect of capital gains tax and stock transaction tax on share prices. In the generality of cases, the equilibrium share price is shown to equal the discounted sum of future dividends. In this paper, we emphasize that tax policy is a driving force in determining the discount rate and market turnover rate also plays an important role in determining the effects of policy. We show that temporary changes in policy have little effect on current stock price; only perceived policy in the future has price effect. We also show that a permanent shift in tax policy exerts only level effect, but no growth effect, on stock price.
Using monthly data from Taiwan, our empirical results indicate that changes in stock turnover rate often leads changes in transaction tax, and both are positively correlated. This result implies that government policy often reacts to market volatility instead of the other way around. Since the data exhibit autoregressive conditional heteroskedasticity, we employ a two stage ARCH(1)-M model as our empirical strategy. Our results show that the price effect of transaction tax is significant, with the expected change in future tax especially so. The results also indicate that expected stock returns have positive and important effects on market turnover rate. Overall, the policy effect on stock price depends on the tax rate, the degree of risk aversion, sensitivity of turnover rate to policy and the expected stock return.
The analysis so far assumes that the tax policy is certain, when in fact it is hardly the case. The 1989 fiasco and the recent flip-flop of the government are vivid testimonies of the volatile nature of the government policy. The third part extends the model to a stochastic environment and examines the consequences when a long-standing unequivocal tax policy suddenly and unexpectedly shifts to a stochastic regime. This type of regime shift seems to characterize the recent experience in Taiwan.
Our results show that the shape of the pricing function under stochastic regimes depend on the persistence of the tax process. For tax rates that are lower than the unconditional mean of the process, the price is lower than the certainty case because the expected tax rate is higher over this interval. As the tax process becomes more persistent, the expected duration of the tax rate lengthens and the pricing function becomes negatively sloped. Notice that the slope of the pricing function (i.e., the tax elasticity of the price-dividend ratio) is flatter than the certainty case because in a stochastic regime consumers always take into account the possibility of tax changes, no matter how small the probability is. |
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| Description: | 博士
國立政治大學
經濟研究所
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