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    政大機構典藏 > 政大學報 > 第81期 > 期刊論文 >  Item 140.119/102317
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/102317


    題名: 證券交易所得稅與證券交易稅對股票價格的影響
    其他題名: The Effect of Capital Gains Tax and Transaction Tax on Stock Price
    作者: 毛慶生;黃寶慧
    Mao, Ching-Sheng;Huang, Pao-Hui
    貢獻者: 經濟系;財稅系
    關鍵詞: 證券交易所得稅;證券交易稅;股票價格;週轉率;ARCH-M模型
    Capital Gains Tax;Transaction Tax;Stock Price;Turn Over Rate;ARCH-M Model
    日期: 2000-12
    上傳時間: 2016-09-29 15:36:12 (UTC+8)
    摘要: 本文擴充Lucas(1978)與Mao(1999)之資產訂價模型,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Lucas與Mao之資產價格方程式,其均衡價格為未來各期股利之貼現值的總和。所不同的是Lucas之貼現率即為市場利率,而Mao之貼現率除了考慮市場利率外,另以租稅為影響貼現率的主要因素。但本文強調市場利率、證券交易所得稅、證券交易稅與代表性個人之週轉率均會影響貼現率。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。但如果考慮租稅政策的永久效果,在均衡價格與目前的股利呈固定係數之線性關係的假設下,租稅政策作永久性變動,除了影響均衡價格的水準值外,並不影響均衡價格的成長率。本文另以實證研究租稅對股票報酬率與週轉率的影響。首先,由Granger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。再者,由於台灣股票報酬率與週轉率的時間序列資料具有自迴歸條件變異數不齊一(Autoregressive Conditional Heteroskedasticity; ARCH)的現象,因此本文異於其他相關研究的實證方法,另由ARCH族模型中選取一套考慮風險貼水(risk premium)之最佳配適的兩階段ARCH(1)-M模型進行實證研究,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。而預期未來的證券交易稅與當期的證券交易稅對當期股票報酬率均為直接的負面影響,但以前者影響較為顯著。此外,預期未來的股票報酬率與當期證券交易稅對當期週轉率的直接影響顯著,二者分別與週轉率呈正、負向關係,因而間接地影響股票價格。至於證券交易所得稅因宣告(或施行)的期間極為短暫,故對當期股票報酬率的影響不顯著。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。
    This paper works out the effect of capital gains tax and stock transaction tax on share prices. As in Lucas (1978), the equilibrium share price is shown to equal the discounted sum of future dividends. However, Lucas considered only a simple endowment economy without government policy. With tax on capital gains and stock transaction incorporated into the model, Mao(1999) showed that tax policy is a driving force in determining the discount rate, through which the stock price will be affected. In this paper, we emphasize that 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.
    關聯: 國立政治大學學報, 81 part1, 73-129
    資料類型: article
    顯示於類別:[第81期] 期刊論文

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