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    政大機構典藏 > 學術期刊 > 會計評論 > 期刊論文 >  Item 140.119/132544
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/132544

    Title: The Effects of Reducing the Securities Transaction Tax on Day Trading: Evidence from the Taiwan Stock Market
    Authors: 吳貞慧
    Wu, Chen-Hui
    Wang, Tzu-Yun
    Contributors: 會計評論
    Keywords: Day trading ; Margin netting ; Market quality ; Securities transaction tax 
     當日沖銷 ; 資券互抵 ; 市場品質 ; 證券交易稅
    Date: 2020-01
    Issue Date: 2020-11-13 10:23:28 (UTC+8)
    Abstract: We have examined the 30 most actively-traded stocks for one year before and one year after the day trading transaction tax reduction implemented on April 28, 2017. Our findings show that the tax reduction increased market quality as measured by trading value, trading volume, turnover, volatility and liquidity while matching their prior untreated stocks using a propensity-score matching approach. When we use the difference-indifferences approach, qualitatively similar results also apply except for volatility, which has no significant effect. Furthermore, we investigate the effects of the tax reduction on the transaction impact as measured by the day trading volume, day trading ratio, margin netting and the margin netting ratio. The empirical results show that the day trading volume and the day trading ratio are positive and statistically significant, whereas the margin netting and the margin netting ratio are negative and statistically significant. These findings are robust to the two above-mentioned statistical approaches. Overall, the policy of reducing the securities transaction tax (STT) on day trading has improved market quality and resulted in the substitution of day trading for margin trading in the period.
    Relation: 會計評論, 70, 135-169
    Data Type: article
    DOI 連結: https://doi.org/10.6552/JOAR.202001_(70).0004
    DOI: 10.6552/JOAR.202001_(70).0004
    Appears in Collections:[會計評論] 期刊論文

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