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題名 現股當沖降稅政策對公司股利政策的影響
The Impact of Day-Trading Transaction Tax Reduction on Corporate Dividend Policy
作者 游捷凱
Yu, Chieh-Kai
貢獻者 黃嘉威
Huang, Chia-Wei
游捷凱
Yu, Chieh-Kai
關鍵詞 當沖降稅
股利政策
證券交易稅條例
Day-trading tax cut
Dividend policy
Securities Transaction Tax Act
日期 2025
上傳時間 1-Jul-2025 14:48:55 (UTC+8)
摘要 本研究旨在探討2017年臺灣實施「現股當日沖銷交易證交稅減半政策」（簡稱當沖降稅政策）後，對於上市櫃公司股利政策之影響。相較於過往文獻多聚焦於政策對市場流動性、波動性或成交量之影響，本文進一步延伸關注至政策對企業財務決策層面之潛在影響。本研究以2013年至2020年之臺灣非金融類上市櫃公司為樣本，透過差異中的差異法（Difference-in-Differences, DiD）進行實證分析，另透過動態DiD模型與安慰劑檢驗強化研究結論之可信度。實證結果顯示，相較於控制組，受政策影響程度較高之實驗組公司在政策實施後，其現金殖利率顯著上升，且此效果主要來自於股利發放水準之提升，而非股價下跌所致，推測為企業因應當沖降稅政策造成之投資人結構改變，進而調整其股利政策。
This study investigates the impact of Taiwan’s 2017 policy to halve the securities transaction tax on day-trading transaction (hereafter, the "day-trading tax cut policy") on corporate dividend policies. While prior literature has predominantly focused on the policy’s effects on market liquidity, volatility, or trading volume, this paper extends the discussion to its potential influence on corporate financial decisions. Using a sample of Taiwan’s non-financial listed firms from 2013 to 2020, this study employs a Difference-in-Differences (DiD) empirical strategy to estimate the policy’s effect. In addition, dynamic DiD models and placebo tests are applied to strengthen the credibility of the findings. The empirical results indicate that, compared to the control group, firms more exposed to the policy experienced a significant increase in dividend yield after the policy was implemented. Further analysis reveals that this effect primarily stems from higher dividend payouts rather than a decline in stock prices. The findings suggest that companies adjusted their dividend policies in response to investor base changes induced by the tax cut policy.
參考文獻 吳貞慧、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。 沈盈妤（2022），《當日沖銷降稅政策與其延長對於臺股市場交易之影響》，碩士論文，國立政治大學財政學系，臺北市。 李姿瑩（2008），《股票流動性與企業現金股利政策》，碩士論文，國立臺灣大學國際企業學研究所，臺北市。 邱金蘭（2024），〈當沖七年2／年輕人當沖取代長期投資 當沖降稅延不延 財政部考量有這些〉，《經濟日報》，2024 年 5 月 20 日。 Banerjee, S., Gatchev, V. A., and Spindt, P. A. (2007). Stock Market Liquidity and Firm Dividend Policy. Journal of Financial and Quantitative Analysis, 42(2), 369–397. Subrahmanyam, A., and Titman, S. (1999). The Going‐Public Decision and the Development of Financial Markets. Journal of Finance, 54(3), 1045–1082. Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and “The Bird in the Hand” Fallacy. Bell Journal of Economics, 10(1), 259–270. Miller, M. H., and Rock, K. (1985). Dividend Policy under Asymmetric Information. Journal of Finance, 40(4), 1031–1051. John, K., and Williams, J. (1985). Dividends, Dilution, and Taxes: A Signalling Equilibrium. Journal of Finance, 40(4), 1053–1070. Aggarwal, R., Cao, J., and Chen, F. (2012). Information Environment, Dividend Changes, and Signaling: Evidence from ADR Firms. Contemporary Accounting Research, 29(2), 403–431. Jain, R. (2007). Institutional and Individual Investor Preferences for Dividends and Share Repurchases. Journal of Economics and Business, 59(5), 406–429. Fama, E. F., and French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60(1), 3–43. Aivazian, V., Booth, L., and Cleary, S. (2003). Do Emerging Market Firms Follow Different Dividend Policies from U.S. Firms? Journal of Financial Research, 26(3), 371–387. Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. American Economic Review, 76(2), 323–329. DeAngelo, H., DeAngelo, L., and Stulz, R. M. (2006). Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Life‐Cycle Theory. Journal of Financial Economics, 81(2), 227–254. Lintner, J. (1956). Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes. American Economic Review, 46(2), 97–113. Cheng, W.-H., Ni, Y., Ho, T.-H., Chiang, C.-J., Huang, P., & Cheng, Y. (2021). Are the shareholding and trading behaviors of diverse investors affected by the relaxation of day trading? PLOS ONE, 16(4), e0250121.
描述 碩士
國立政治大學
財務管理學系
112357001
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357001
資料類型 thesis
dc.contributor.advisor 黃嘉威zh_TW
dc.contributor.advisor Huang, Chia-Weien_US
dc.contributor.author (Authors) 游捷凱zh_TW
dc.contributor.author (Authors) Yu, Chieh-Kaien_US
dc.creator (作者) 游捷凱zh_TW
dc.creator (作者) Yu, Chieh-Kaien_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:48:55 (UTC+8)-
dc.date.available 1-Jul-2025 14:48:55 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:48:55 (UTC+8)-
dc.identifier (Other Identifiers) G0112357001en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157767-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357001zh_TW
dc.description.abstract (摘要) 本研究旨在探討2017年臺灣實施「現股當日沖銷交易證交稅減半政策」（簡稱當沖降稅政策）後，對於上市櫃公司股利政策之影響。相較於過往文獻多聚焦於政策對市場流動性、波動性或成交量之影響，本文進一步延伸關注至政策對企業財務決策層面之潛在影響。本研究以2013年至2020年之臺灣非金融類上市櫃公司為樣本，透過差異中的差異法（Difference-in-Differences, DiD）進行實證分析，另透過動態DiD模型與安慰劑檢驗強化研究結論之可信度。實證結果顯示，相較於控制組，受政策影響程度較高之實驗組公司在政策實施後，其現金殖利率顯著上升，且此效果主要來自於股利發放水準之提升，而非股價下跌所致，推測為企業因應當沖降稅政策造成之投資人結構改變，進而調整其股利政策。zh_TW
dc.description.abstract (摘要) This study investigates the impact of Taiwan’s 2017 policy to halve the securities transaction tax on day-trading transaction (hereafter, the "day-trading tax cut policy") on corporate dividend policies. While prior literature has predominantly focused on the policy’s effects on market liquidity, volatility, or trading volume, this paper extends the discussion to its potential influence on corporate financial decisions. Using a sample of Taiwan’s non-financial listed firms from 2013 to 2020, this study employs a Difference-in-Differences (DiD) empirical strategy to estimate the policy’s effect. In addition, dynamic DiD models and placebo tests are applied to strengthen the credibility of the findings. The empirical results indicate that, compared to the control group, firms more exposed to the policy experienced a significant increase in dividend yield after the policy was implemented. Further analysis reveals that this effect primarily stems from higher dividend payouts rather than a decline in stock prices. The findings suggest that companies adjusted their dividend policies in response to investor base changes induced by the tax cut policy.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 2 第三節 研究貢獻 3 第四節 研究架構 3 第二章 文獻回顧與假說設立 4 第一節 當沖降稅政策對臺灣資本市場之影響 4 第二節 資本市場因子與企業股利政策之關聯 5 第三節 研究假說 7 第三章 研究設計 9 第一節 研究方法 9 第二節 樣本選取與資料來源 10 第三節 變數定義 10 第四節 研究模型設計 14 第四章 實證結果分析 17 第一節 樣本敘述性統計分析 17 第二節 變數間相關係數分析 19 第三節 主要模型結果分析 20 第四節 平行趨勢假設驗證 28 第五節 安慰劑檢驗 30 第五章 研究結論與建議 32 第一節 研究結論 32 第二節 研究建議與限制 32 參考文獻 34zh_TW
dc.format.extent 1553136 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357001en_US
dc.subject (關鍵詞) 當沖降稅zh_TW
dc.subject (關鍵詞) 股利政策zh_TW
dc.subject (關鍵詞) 證券交易稅條例zh_TW
dc.subject (關鍵詞) Day-trading tax cuten_US
dc.subject (關鍵詞) Dividend policyen_US
dc.subject (關鍵詞) Securities Transaction Tax Acten_US
dc.title (題名) 現股當沖降稅政策對公司股利政策的影響zh_TW
dc.title (題名) The Impact of Day-Trading Transaction Tax Reduction on Corporate Dividend Policyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 吳貞慧、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。 沈盈妤（2022），《當日沖銷降稅政策與其延長對於臺股市場交易之影響》，碩士論文，國立政治大學財政學系，臺北市。 李姿瑩（2008），《股票流動性與企業現金股利政策》，碩士論文，國立臺灣大學國際企業學研究所，臺北市。 邱金蘭（2024），〈當沖七年2／年輕人當沖取代長期投資 當沖降稅延不延 財政部考量有這些〉，《經濟日報》，2024 年 5 月 20 日。 Banerjee, S., Gatchev, V. A., and Spindt, P. A. (2007). Stock Market Liquidity and Firm Dividend Policy. Journal of Financial and Quantitative Analysis, 42(2), 369–397. Subrahmanyam, A., and Titman, S. (1999). The Going‐Public Decision and the Development of Financial Markets. Journal of Finance, 54(3), 1045–1082. Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and “The Bird in the Hand” Fallacy. Bell Journal of Economics, 10(1), 259–270. Miller, M. H., and Rock, K. (1985). Dividend Policy under Asymmetric Information. Journal of Finance, 40(4), 1031–1051. John, K., and Williams, J. (1985). Dividends, Dilution, and Taxes: A Signalling Equilibrium. Journal of Finance, 40(4), 1053–1070. Aggarwal, R., Cao, J., and Chen, F. (2012). Information Environment, Dividend Changes, and Signaling: Evidence from ADR Firms. Contemporary Accounting Research, 29(2), 403–431. Jain, R. (2007). Institutional and Individual Investor Preferences for Dividends and Share Repurchases. Journal of Economics and Business, 59(5), 406–429. Fama, E. F., and French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60(1), 3–43. Aivazian, V., Booth, L., and Cleary, S. (2003). Do Emerging Market Firms Follow Different Dividend Policies from U.S. Firms? Journal of Financial Research, 26(3), 371–387. Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. American Economic Review, 76(2), 323–329. DeAngelo, H., DeAngelo, L., and Stulz, R. M. (2006). Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Life‐Cycle Theory. Journal of Financial Economics, 81(2), 227–254. Lintner, J. (1956). Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes. American Economic Review, 46(2), 97–113. Cheng, W.-H., Ni, Y., Ho, T.-H., Chiang, C.-J., Huang, P., & Cheng, Y. (2021). Are the shareholding and trading behaviors of diverse investors affected by the relaxation of day trading? PLOS ONE, 16(4), e0250121.zh_TW