資本利得稅與證券交易稅是政府為了要監督金融市場的一種工具。在直觀上,資本利得稅與證券交易稅增加會導致雜訊交易者比例及市場波動性下降。但是,另外一個看法,認為增加資本利得稅與證券交易稅會導致市場波動性變大。 本論文目的為討論在一般均衡架構中資本利得稅與證券交易稅對於市場波動的影響。存在基礎風險與供給風險的模型下,當資本利得稅與證券交易稅增加,本論文結果得到雜訊交易者與市場波動下降的傳統觀點,以及雜訊交易者與市場波動上升的相反觀點。 在這篇論文中,研究當資本利得稅與證券交易稅增加對於市場波動性影響,需要考慮到市場波動性與雜訊交易者比例,在市場波動與雜訊交易者比例較低的國家,增加資本利得稅與證券交易稅,可能有助於減少市場波動。反之,在雜訊交易者比例與市場波動較高的國家,增加資本利得稅與證券交易稅,會導致市場波動上升。 然而,在本論文中,當考慮雜訊交易者人數外生給定下,均衡證券價格與證券淨供應量變化、證券價格波動、風險趨避程度,以及證券股利波動呈現負向關係,而與錯估預期價格均衡、錯估預期價格、雜訊交易者比例,以及證券股利呈現正向關係。但是,證券均衡價格與無風險資產利率、資本利得稅,以及證券交易稅則不一定。此外,雜訊交易者與預期證券價格變異、證券交易稅,以及資本利得稅呈現負向關係,而與基本股利風險、證券價格波動,及風險趨避程度呈現正向關係。但是,錯估預期證券價格對於雜訊交易者的影響則不一定。 關鍵字:證券交易所得稅、價格波動性、證券交易稅、雜訊交易者
This thesis discusses the influences capital gains tax and securities transaction tax on stock market fluctuations in a general equilibrium framework. Considering fundamental risk and supply risk, this study finds that when the increase in capital gains tax and securities transaction tax, either the number of noise traders and market volatility both decrease, or noise traders and market volatility both increase. This study suggest that equilibrium prices of securities are negatively associated with security net supply, securities price, the degree of risk aversion and securities dividend volatility. Furthermore, equilibrium prices of securities are positively associated with the misprice level of noise traders, the number of noise traders and securities dividends. However, the effects of risk-free interest rates, capital gains tax, as well as the securities transaction tax on security prices are not determined. Keyword: Capital gains tax; Noise trader; Price volatility