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Title: The Taxation on Capital Gains and the Stock Price Volatility
Authors: 薛雅月
Contributors: 朱美麗
Keywords: 資本利得稅
capital gains tax
stock price volatility
rational speculation
Date: 2003
Issue Date: 2009-09-18 15:55:34 (UTC+8)
This study establishes a model of the stock market involving the rational speculators to investigate whether the imposition of tax on capital gains can reduce the market volatility. The finding is that the effect of tax on the stock price volatility varies according to the types of shocks hitting the market. In the cases of the issuing shock and the dividend shock, raising the tax rate could be a way to stabilize the stock market. On the contrary, when the margin-rate shock occurs, it tends to magnify the effect of the shock and therefore increases the market volatility. Thus, it could be concluded that an increase in the tax rate may increase or decrease the stock price volatility depending on the type of unexpected shocks.
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Description: 碩士
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Data Type: thesis
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