證所稅復徵相關事件對股票市場之影響

The Impact of Introducing the Capital Gains Tax on Stock Market

李孟璇(Meng-Hsuan Lee)

指導教授 ： 王泰昌 ； 劉嘉雯

國立臺灣大學/管理學院/會計學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.00865

摘要

2012年7月25日，立法院三讀通過所得稅法與所得基本稅額條例修正案，預定於2013年1月1日起復徵證券交易所得稅(簡稱證所稅)；2013年6月25日，立法院又通過所得稅法部分條文修正案，回溯至2013年1月1日起實施，確立證所稅之復徵方式。本研究選取十個與證所稅復徵相關之事件日，探討證所稅政策變動之事件發生是否會影響股票市場之股價和交易變動量，首先利用事件分析法觀察我國上市櫃公司之股票是否在證所稅相關事件期間產生顯著之累積異常報酬率，其次利用多元迴歸模型分析個別公司之特性如股東結構、股利政策等是否會影響事件期間之累積異常報酬率和事件發生後之股票交易變動量。
　　研究結果支持資本利得稅之資本化效果，顯示在復徵證所稅相關事件中，事件一(行政院長陳沖不否認有復徵證所稅之可能)、事件二(財政健全小組將資本利得稅納入稅改優先議案)、事件六(證所稅國民黨立委修正動議版出爐)、事件七(立法院三讀通過復徵證所稅一案)等四個事件皆於事件期間內產生負向顯著之累積異常報酬率；在緩徵證所稅相關事件中，事件五(國民黨立法院證所稅整合版出爐，原財政部長劉憶如辭職下台)、事件八(監察院對行政院及財政部提出糾正案，認為其推動證所稅之時機失當)和事件十(立法院三讀通過證所稅修正案)皆於事件期間內產生正向顯著之累積異常報酬率，檢定結果符合預期。
　　在公司特性與累積異常報酬率的迴歸部分，事件一(行政院長陳沖不否認有復徵證所稅之可能)、事件七(立法院三讀通過復徵證所稅一案)支持國內自然人持股比例越高之公司，受證所稅相關事件之影響越大；事件二(財政健全小組將資本利得稅納入稅改優先議案)支持國外法人持股比例越高之公司，受證所稅相關事件之影響越小；事件二(財政健全小組將資本利得稅納入稅改優先議案)、事件四(證所稅行政院版本出爐)、事件十(立法院三讀通過證所稅修正案)支持股利收益率越高之公司，受證所稅相關事件影響越小；事件五(國民黨立法院證所稅整合版出爐，原財政部長劉憶如辭職下台)則支持證券業公司受證所稅相關事件影響越大。在公司特性與交易變動量的迴歸部分，事件一(行政院長陳沖不否認有復徵證所稅之可能)、事件二(財政健全小組將資本利得稅納入稅改優先議案)、事件四(證所稅行政院版本出爐)、事件七(立法院三讀通過復徵證所稅一案)及事件九(馬英九總統表示證所稅有檢討與修正之空間)皆支持國內自然人持股比例越高之公司，受證所稅相關事件影響所產生之交易變動量越大。

關鍵字

證券交易所得稅 ； 事件研究 ； 異常報酬 ； 交易變動量 ； 公司特性分析

並列摘要

The Legislative Yuan passed an amendment to the Income Tax Act on 25 July 2012 that introduced a capital gains tax on the sale of securities which came into effect on 1 January 2013. One year after the amendment passed, the Legislative Yuan passed a revision of Income Tax Act on 26 June 2013, and the revision was retroactive to 1 January 2013. This study examines the impact on stock prices from ten events related to the introduction of capital gains tax on securities and finds out the reflection of capitalization effect during the event 1 (Premier Chen said he would keep an open mind to levying capital gains tax), the event 2 (Capital gains tax became foremost item for taxation reform), the event 4 (The Executive Yuan approved capital gains tax proposal), the event 5 (Finance Minister Liu quit in tax dispute), the event 7 (The Legislative Yuan passed an amendment to the Income Tax Act), the event 8 (The Control Yuan reprimanded the Legislative Yuan and Ministry of Finance over capital gains tax). The stock prices fell when events related to the introduction of capital tax were pronounced, and rose when events related to the delay of capital tax were pronounced.
　　This study then examines the relations between the firm’s characters and abnormal returns caused by the events, and the relations between the firm’s characters and trading volumes also. Results of the regression analysis are as follows (1) Firms with more native person investors experienced lower abnormal returns during the event 1 (Premier Chen said he would keep an open mind to levying capital gains tax) and the event 7 (The Legislative Yuan passed an amendment to the Income Tax Act). (2) Firms with more foreign entity investors experienced higher abnormal returns during the event 2 (Capital gains tax became foremost item for taxation reform). (3) Firms with lower dividend yield experienced higher abnormal returns during the event 2 (Capital gains tax became foremost item for taxation reform) and the event 4 (The Executive Yuan approved capital gains tax proposal), but lower abnormal returns during the event 10 (The Legislative Yuan passed a revision of Income Tax Act). (4) Securities industry experienced higher abnormal returns during the event 5 (Finance Minister Liu quit in tax dispute). (5) Trading volume increased more in firms with more native person investors during the event 1 (Premier Chen said he would keep an open mind to levying capital gains tax), the event 2 (Capital gains tax became foremost item for taxation reform), the event 4 (The Executive Yuan approved capital gains tax proposal), and the event 7 (The Legislative Yuan passed an amendment to the Income Tax Act).

並列關鍵字

Capital Gains Tax on Securities ； Event Study ； Abnormal returns ； Trading Volume ； Firm’s characters analysis

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