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題名 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
作者 沈盈妤
Shen, Ying-Yu
貢獻者 陳國樑
Chen, Kuo-Liang
沈盈妤
Shen, Ying-Yu
關鍵詞 證券交易稅
當日沖銷交易
流動性
波動性
Securities transaction tax
Day trading
Liquidity
Volatility
日期 2022
上傳時間 2-Sep-2022 15:29:23 (UTC+8)
摘要 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.
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描述 碩士
國立政治大學
財政學系
109255006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109255006
資料類型 thesis
dc.contributor.advisor 陳國樑zh_TW
dc.contributor.advisor Chen, Kuo-Liangen_US
dc.contributor.author (Authors) 沈盈妤zh_TW
dc.contributor.author (Authors) Shen, Ying-Yuen_US
dc.creator (作者) 沈盈妤zh_TW
dc.creator (作者) Shen, Ying-Yuen_US
dc.date (日期) 2022en_US
dc.date.accessioned 2-Sep-2022 15:29:23 (UTC+8)-
dc.date.available 2-Sep-2022 15:29:23 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2022 15:29:23 (UTC+8)-
dc.identifier (Other Identifiers) G0109255006en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141755-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政學系zh_TW
dc.description (描述) 109255006zh_TW
dc.description.abstract (摘要) 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。		zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents 第一章　緒論 1
第一節　研究背景 1
第二節　研究動機與目的 6
第三節　研究架構 10
第二章　文獻回顧 11
第一節　證券交易稅與市場品質 11
第二節　國內當日沖銷交易相關政策研究 19
第三節　研究方法相關文獻 22
第三章　交易制度與政策背景 30
第一節　當日沖銷交易 30
第二節　證券交易稅制度 35
第三節　現股當沖降稅政策與市場現況 40
第四章　研究設計 44
第一節　研究方法與實證模型 44
第二節　資料來源與研究變數 49
第五章　實證結果 57
第一節　敘述統計 57
第二節　市場品質 63
第三節　替代效果 75
第四節　證券交易稅收 84
第五節　本章小結 87
第六章　結論與建議 90
參考文獻 93
附錄 99
附錄一　觀察樣本公司名單 99
附錄二　原始樣本敘述性統計 102
附錄三　ADR 實證結果 106
附錄四　個股收盤價格實證結果 108
附錄五　分組迴歸結果 109		zh_TW
dc.format.extent 7773063 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109255006en_US
dc.subject (關鍵詞) 證券交易稅zh_TW
dc.subject (關鍵詞) 當日沖銷交易zh_TW
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 波動性zh_TW
dc.subject (關鍵詞) Securities transaction taxen_US
dc.subject (關鍵詞) Day tradingen_US
dc.subject (關鍵詞) Liquidityen_US
dc.subject (關鍵詞) Volatilityen_US
dc.title (題名) 當日沖銷降稅政策與其延長對於臺股市場交易之影響zh_TW
dc.title (題名) The Market Impact of Day-Trading Securities Transaction Tax Cut and Its Extension: Empirical Evidences from Taiwan Stock Marketen_US
dc.type (資料類型) thesisen_US
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dc.identifier.doi (DOI) 10.6814/NCCU202201302en_US