Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/141755
|
| Title: | 當日沖銷降稅政策與其延長對於臺股市場交易之影響
The Market Impact of Day-Trading Securities Transaction Tax Cut and Its Extension: Empirical Evidences from Taiwan Stock Market |
| Authors: | 沈盈妤
Shen, Ying-Yu |
| Contributors: | 陳國樑
Chen, Kuo-Liang
沈盈妤
Shen, Ying-Yu |
| Keywords: | 證券交易稅
當日沖銷交易
流動性
波動性
Securities transaction tax
Day trading
Liquidity
Volatility |
| Date: | 2022 |
| Issue Date: | 2022-09-02 15:29:23 (UTC+8) |
| Abstract: | 臺灣自 2017 年實施當沖降稅措施至今，關於政策有效性與延長降稅之適切性，國內出現許多正反意見卻尚無定論。本研究透過 2016 至 2018 年臺股 340 檔個股之日資料，以差異中的差異法（difference-in-differences, DID）分析 2017 年當沖降稅及 2018 年延長政策對於臺股市場品質、交易類型及證交稅收的影響。
實證結果發現，2017 年降稅實施後部分流動性指標提升，交易股數雖有增加，但不具統計顯著性，且政策效果僅限於提升現股當沖交易量，無助於帶動非當沖交易；同時，波動性有擴大情形。2018 年降稅延長期間對於流動性已無額外刺激效果，但波動性仍持續增加，顯示縱然降稅之初有交易金額提升的效果，卻付出波動性增加的代價。此外，由於資券當沖交易不適用降稅優惠，數據顯示降稅之初，現股當沖量部分成長來自資券當沖，表示兩者之間存在信用交易替代效果。在稅收影響方面，當沖降稅雖然使證交稅增加；但在降稅延長期間，樣本每日平均產生之證交稅卻少於第一年降稅的時期，表示在現有交易量規模下，延長降稅政策會造成潛在稅收損失。
There are diverse opinions on the effectiveness of the Day-Trading Securities Transaction Tax Cut policy and the appropriateness of its extension since its first inauguration in Taiwan in 2017. In this study, we collect daily data of 340 stocks in the Taiwan Stock Market from 2016 to 2018, and use the difference-in-differences approach to analyze the impacts of the tax cut policy and its extension on market quality, transaction types, and transaction tax revenue.
The results demonstrate that parts of liquidity measures increased after implementing the tax cut policy in 2017, while trading volumes also increased, it was not statistically significant. Additionally, while the tax cut policy raised volumes and values of day-trading transactions, it was not effective in promoting non-day-trading transactions. Concurrently, the volatility intensified after the introduction of the policy. As to the extension period of the tax cut policy in 2018, there was no extra boosting effect on the liquidity, while the increase in volatility persisted. Overall, the increase of trading values in the initiation of the tax cut policy was at the cost of increasing market volatility.
Moreover, since there was no tax cut with respect to intra-day margin trading, evidences showed that parts of the increase in day-trading volumes when the tax cut was first initiated, came from the decrease in intra-day margin trading, in other words, there existed a substitution effect between day-trading and intra-day margin trading.
As for the effect on tax revenues, the results suggest that the overall securities transaction tax revenue increased after the tax cut policy was first initiated; however, the daily average securities transaction tax revenue in the extended tax cut period was less than that in the first year of the tax cut period, and this meant that there were potential tax losses in the extended tax cut period. |
| Reference: | 天下雜誌編輯部 (2016)，「台股漲幅全球第7，為何股民卻無感？」，《天下雜誌》，2016 年 12 月 21 日。
毛慶生與黃寶慧 (2000)，「證券交易所得稅與證券交易稅對股票價格的影響」，《國立政治大學學報》，81，73–129。
伍大開與陳國樑 (2021)，「當沖降稅與證券交易課稅制度的正常化」，《月旦財稅實務釋評》，19，8–16。
吳佳穎 (2021)，「當沖降稅 陳冲：鼓勵當沖多於持有、不符合租稅中立」，《自由時報》，2021 年 5 月 25 日。
吳貞慧與王姿韻 (2020)，「調降當日沖銷證券交易稅之影響：臺灣股票市場實證研究」，《會計評論》，70，135–169。
林秀玉 (2018)，《開放現股當沖交易對交易量之影響—以台灣上市公司為例》，碩士論文，國立成功大學財務金融研究所碩士在職專班。
林庭安 (2021)，「台積電ADR是什麼？一個公式讓你輕鬆搞懂ADR與台股的連動關係」，《經濟日報》，2021 年 3 月 17 日。
柯冠成，周冠男與楊念慈 (2017)，「當沖交易證交稅改革與台股量能之提升」，《證券公會季刊》，106 年第二季，21–28。
洪綾襄 (2021)，「長榮當沖客翻船 有人連3500元交割款都付不出...今年違約件數暴衝，股市小白玩當沖不講『股德』？」，《財訊》，2021 年 9 月 23 日。
胡星陽與曾雲蘭 (2004)，《證券交易稅對股市的影響》，行政院國家科學委員會基礎研究。
徐子舜 (2015)，《現股當沖新制對市場及個股報酬率、週轉率與成交量影響效果之研究》，碩士論文，國立臺北大學國際財務金融碩士在職專班。
翁至威 (2022)，「證交稅收減37% 連四月衰退」，《經濟日報》，2022 年 5 月12日。
財政部北區國稅局 (2022)，「現行集中交易市場課徵證券交易稅之類別及適用稅率表」，上網日期 2022 年 5 月 8 日，檢自：https://www.ntbna.gov.tw/multiplehtml/17bf78f2d157436687a8515024547266。
財政部財政史料陳列室 (2022)，「證券交易稅重要史料」，上網日期 2022年3月8日，檢自：http://museum.mof.gov.tw/ct.asp?xItem=15580&ctNode=33&mp=1。
張智喬 (2020)，《當日沖銷證券交易稅減半後的降稅效果》，碩士論文，逢甲大學財稅學系。
莊梁甫 (2017)，《台股集中市場現股當沖制度有效性與調降當沖證交稅可行性評估》，碩士論文，國立中山大學財務管理學系研究所。
陳一德 (2015)，《以 DID 計量方法分析：現股當沖政策對標的個股成交量提升及活絡股市有效性》，碩士論文，國立臺灣大學經濟學研究所。
陳永吉 (2022)，「〈財經週報-當沖〉逾千萬違約交割 貨櫃三雄7次最多」，《自由時報》，2022 年 3 月 7 日。
陳國樑 (2021)，「【專家之眼】誰讓當沖降稅永不落日？」，《聯合報》，2021 年 8 月 23 日。
黃翎安 (2019)，《當沖證交稅減半對股市的影響》，碩士論文，東吳大學經濟學系。
黃紫珉 (2021)，《當日沖銷稅減半政策納入自營商對象對股市成交量之影響—以台灣上市公司為例》，碩士論文，淡江大學暨澳洲昆士蘭理工大學財金全英語雙碩士學位學程。
黃勢璋、林馨怡與連賢明 (2013)，「養雞生蛋或殺雞取卵：論期交稅之降稅效果」，《經濟論文》，41，1–37。
經濟日報社論 (2021)，「當沖降稅延長 明智之舉」，《經濟日報》，2021 年 8 月 18 日。
葉憶如 (2021)，「新手搏一夜致富…當沖開戶數 衝破 300萬」，《經濟日報》，2021 年 6 月 23 日。
潘智義 (2021)，「許璋瑤：當沖制度中性 警示處置新制8/27如期實施」，《中央通訊社》，2021 年 8 月 20 日。
潘瑤華 (2015)，《現股當沖對成交量與資券互抵當沖量之影響分析》，碩士論文，國立中央大學財務金融學系在職專班。
蔡鳳凰、伍大開、陳國樑、周德宇與黃勢璋 (2021)，「退稅便利性與外籍旅客消費—臺北 101 內部資料分析」，《臺灣經濟預測與政策》，52，83–117。
盧宏奇 (2021)，「航運股違約交割 40歲當沖客翻船」，《聯合報》，2021 年 6 月 24 日。
盧宏奇 (2021)，「集中市場當沖比 合理」，《經濟日報》，2021 年 5 月 13 日。
賴昭穎與沈婉玉 (2021)，「冷眼集／嗎啡當成維他命 台股淪賭場」，《聯合報》，2021 年 8 月 19 日。
謝慧燕 (2018)，《證券市場當日沖銷降稅政策之事件研究》，碩士論文，國立臺北大學會計學系在職專班。
蘇秀慧、呂雪慧、魏喬怡與林昱均 (2021)，「當沖降稅擬再延三年 兩大關鍵考量曝光」，《工商時報》，2021 年 8 月 18 日。
Abrams, D. (2021), “COVID and Crime: An Early Empirical Look,” Journal of Public Economics, 194, 104344.
Amihud, Y. (2002), “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects,” Journal of Financial Markets, 5, 31–56.
Ashenfelter, O. and D. Card (1985), “Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs,” Review of Economics and Statistics, 67, 648–660.
Baltagi, B., D. Li, and Q. Li (2006), “Transaction Tax and Stock Market Behavior: Evidence from an Emerging Market,” Empirical Economics, 31, 393–408.
Becchetti, L., M. Ferrari, and U. Trenta (2014), “The Impact of the French Tobin Tax,” Journal of Financial Stability, 15, 127–148.
Bond, S., M. Hawkins, and A. Klemm (2005), “Stamp Duty on Shares and Its Effect on Share Prices,” FinanzArchiv/ Public Finance Analysis, 61, 275–297.
Capelle-Blancard, G. (2017), “Curbing the Growth of Stock Trading? Order-to-Trade Ratios and Financial Transaction Taxes,” Journal of International Financial Markets, Institutions and Money, 49, 48–73.
Capelle-Blancard, G. and O. Havrylchyk (2016), “The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility,” International Review of Financial Analysis, 47, 166–178.
Cappelletti, G., G. Guazzarotti, and P. Tommasino (2017), “The Stock Market Effects of a Securities Transaction Tax: Quasi-Experimental Evidence from Italy,” Journal of Financial Stability, 31, 81–92.
Card, D. and A. Krueger (1994), “Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania,” American Economic Review, 84, 772–793.
Chang, H., K. Chang, and E. Fan (2020), “The Intended and Unintended Effects of Drunk Driving Policies,” Oxford Bulletin of Economics and Statistics, 82, 23–49.
Chen, K., J. Yang, and T. Yang (2022), “JUE Insight: Demand for Transportation and Spatial Pattern of Economic Activity During the Pandemic,” Journal of Urban Economics, 127, 103426.
Chung, J., H. Choe, and B. Kho (2009), “The Impact of Day-Trading on Volatility and Liquidity,” Asia-Pacific Journal of Financial Studies, 38, 237–275.
Coelho, M. (2016), “Dodging Robin Hood: Responses to France and Italy’s Financial Transaction Taxes,” Working Paper.
Colliard, J., and P. Hoffman (2017), “Financial Transaction Taxes, Market Composition, and Liquidity,” Journal of Finance, 72, 2685–2715.
De Long, J., A. Shleifer, L. Summers, and R. Waldmann (1990), “Noise Trader Risk in Financial Markets,” Journal of Political Economy, 98, 703–738.
Deloitte International Tax Source (2022), Tax Guides and Country Highlights, https://dits.deloitte.com/#TaxGuides.
Dupont, D. and G. Lee (2007), “Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread,” Economic Theory, 31, 393–400.
Eichengreen, B., J. Tobin, and C. Wyplosz (1995), “Two Cases for Sand in the Wheels of International Finance,” Economic Journal, 105, 162–172.
Foucault, T., D. Sraer, and D. Thesmar (2011), “Individual Investors and Volatility,” Journal of Finance, 66, 1369–1406.
Hu, S. (1998), “The Effects of the Stock Transaction Tax on the Stock Market – Experiences from Asian Markets, Pacific-Basin Finance Journal, 6, 347–364.
Keynes, J. (1936), The General Theory of Employment, Interest, and Money, New York: Harcourt Brace.
Kupiec, P. (1996), “Noise Traders, Excess Volatility, and a Securities Transactions Tax,” Journal of Financial Services Research, 10, 115–129.
Leslie, E. and R. Wilson (2020), “Sheltering in Place and Domestic Violence: Evidence from Calls for Service during COVID-19,” Journal of Public Economics, 189, 104241.
Liu, S. (2007), “Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience,” Journal of Financial Services Research, 32, 161–176.
Lo, A. and J. Heaton (1993), “Securities Transactions Taxes: What Would Be Their Effects on Financial Markets and Institutions?” Mid-America Institute research paper.
Lu, Y. and J. Yang (2021), “COVID-19 and Transboundary Air Pollution: Did Coronavirus Improve Air Quality in Taiwan?” Academia Economic Papers, 49, 497–526.
Meyer, S., M. Wagener, and C. Weinhardt (2015), “Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax,” Journal of Financial Services Research, 47, 177–202.
Parkinson, M. (1980), “The Extreme Value Method for Estimating the Variance of the Rate of Return,” Journal of Business, 53, 61–65.
Parwada, J., Y. Rui and J. Shen (2021), “Financial Transaction Tax and Market Quality: Evidence from France,” International Review of Finance, 22, 90–113.
Song, F. and J. Zhang (2005), “Securities Transaction Tax and Market Volatility,” The Economic Journal, 115, 1103–1120.
Stiglitz, J. (1989), “Using Tax Policy to Curb Speculative Short-Term Trading,” Journal of Financial Services Research, 3, 101–115.
Subrahmanyam, A. (1998), “Transaction Taxes and Financial Market Equilibrium,” Journal of Business, 71, 81–118.
Summers, L. and V. Summers (1989), “When Financial Markets Work Too Well: A Cautious Case for a Securities Transaction Tax,” Journal of Financial Services Research, 3, 261–286.
Tobin, J. (1978), “A Proposal for International Monetary Reform,” Eastern Economic Review, 4, 153–159.
Tobin, J. (1984), “On the Efficiency of the Financial System,” Lloyd’s Bank Review, 153, 1–15.
Umlauf, S. (1993), “Transaction Taxes and the Behavior of the Swedish Stock Market,” Journal of Financial Economics, 33, 227–240.
Wang, Y. (2014), “The Real Effects of a Tobin Tax: Evidence from a Quasi‐Natural Experiment in China,” Political Economy: Fiscal Policies & Behavior of Economic Agents eJournal, DOI: 10.2139/ssrn.2433302. |
| Description: | 碩士
國立政治大學
財政學系
109255006 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109255006 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201302 |
| Appears in Collections: | [財政學系] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 500601.pdf | | 7590Kb | Adobe PDF2 | 107 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
