當日沖銷降稅政策與其延長對於臺股市場交易之影響

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。

關鍵字

證券交易稅；當日沖銷交易；流動性；波動性

並列摘要

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.