當日沖銷稅減半政策納入自營商對象對股市成交量之影響- 以台灣上市公司為例

The Impact of Reducing the Day-Trade Tax with the Proprietary Dealers inclusion on Stock Trading Volume of Taiwan Listed Companies

黃紫珉(Tzu-Min Huang)

指導教授 ： 呂伊婷

淡江大學/商管學院/淡江大學暨澳洲昆士蘭理工大學財金全英語雙碩士學位學程/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00400

摘要

台灣政府機關於 2017 年 4 月 28 日(民國 106 年)開始實施當日沖銷稅減半政
策，並於 2018 年 4 月起將證券自營商也納入適用對象中。本研究主要探討為證 券自營商加入當沖交易稅減半政策適用對象後，台灣股市的當沖交易量變化。本 研究以市場交易熱絡的標的 147 檔上市個股作為樣本，納入自營商為對象前後一 年會區間，探討現股當沖交易量及當沖交易比重前後的變化情形，經過檢定模型 實證，納入自營商後，台股當沖交易確實有上漲的現象。此外，為防止內生性效 應，本研究另將上市個股佔台灣股市大盤前 35 檔個股作為實驗組，與不適用當 沖交易稅減半的 ETF 為控制組，進行 Difference-in-Differences (DID)分析，經研 究證實，個股的交易量在政策納入證券自營商後，確實比 ETF 的交易量增加許 多，有效帶動台股成交量。最後使用納入自營商前後一年以及納入自營商後第 一、二年兩者區間，檢定交易量是否仍為增長，實證結果證實當沖交易稅政策並 無產生疲乏效果。

關鍵字

當日沖銷 ； 股市成交量 ； 自營商 ； 疲乏效果 ； DID

並列摘要

On April 28, 2017, the Taiwan government began to implement the reducing
day-trade tax policy, and from April 2018, the proprietary dealers were also included in the scope of application. This study mainly discusses the changes in the day trading volume of the Taiwan stock market after the proprietary dealers included in the target of the policy. In this study, there are 147 stocks that are hot market trading targets taken as samples and to explore the changes of the daily trading volume and the proportion of the trading volume after the proprietary dealers included in the reducing day-trade tax policy. The empirical results show that when the proprietary dealers are included in the policy, the day trading volume of Taiwan stocks does rise. In addition, in order to prevent the endogenous effect, this study applies Difference-in-Differences (DID) method to analyze. This paper chooses the top 35 stocks in the Taiwan stock market as the treatment group and chooses 35 ETFs that no effect of the policy will incur as the control group. The results show that the day trading volume of stocks increases after the proprietary dealers included, indeed much more than the ETF trading volume. This promotes the trading volume effectively. Finally, this study uses two intervals from April 28, 2017 to April 27, 2019 (one year before and after the inclusion of the proprietary dealer) and from April 28, 2018 to April 27, 2020 (the first and second years after the inclusion of the proprietary dealer) to verify whether the trading volume still increases. The empirical results show that the tax policy has no fatigue effect.

並列關鍵字

Day-trade tax policy ； Trading volume ； Proprietary dealer ； Fatigue effect ； Difference-in-Differences

參考文獻

中文文獻

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