資本管制與股市穩定之分析

Abstract

本文建構一涵蓋外資性投機為的股票市場隨機模型，分析外資性投機，進而對外資進管制，課以外資所得稅，對股市穩定性的影響，研究結果發現：外資所得稅增加，是否會低股價的條件變，與突發性衝擊是否會影響外資在報酬高低的獲考下，所欲持有的股票資產的有關。突發性衝擊發生時，外資在此一考下，所欲持有的股票資產變，則股價暫時偏長期均衡值所導致的短期套取價差的投機為，反而有助於股市的穩定性，股價的波動會變小，因此在提高外資所得稅導致套取短期價差的部位減少後，股價的條件變會變大；但突發性衝擊改變其基於報酬高低的獲考，所欲持有的股票資產，且此一效果大於套取短期價差的影響，則外資的與就可能會擴大股價的波動，因此提高外資所得稅，減少其所欲持有的股票資產後，股價條件變反而變小。因此是否應採取資本管制，提高外資所得的稅，以低股價的波動，與突發性衝擊是否會導致外資調整其在報酬的考下，所欲持有的股票資產有關。此外，無性投機的外資是否會調整其所欲持有的股票資產，外資所得稅提高皆會低性投機外資的水準。

This paper sets up a stochastic model of the equity market with foreign rational speculators to investigate whether an imposition of foreign income tax stabilizes or destabilizes the local equity market. The findings are that an increase in foreign income tax rate may decrease or increase the conditional variance of the equity price depending on whether unanticipated disturbances change the desired holdings of equity assets in that period if foreign speculators concern the short-run rates of return on equity assets. If the desired holdings of equity assets remain unchanged, then a higher foreign income tax rate destabilizes the local equity market. However, if the desired positions of equity assets are adjusted, then a higher foreign income tax may lead to a more stable local equity market and a lower conditional variance of equity prices. Thus, it should be very careful if a country attempts to control foreign capitals with an imposition of foreign income tax. Capital controls can be justified sometime, but not all the times.