課徵奢侈稅對不動產投資信託基金及營建股之影響

The Influence of Luxury Tax on T-REITs and Construction Stocks

張雅琪(Ya-Chi Chang)

指導教授 ： 許玉雪

國立臺北大學/商學院/統計學系/碩士(2013年)

摘要

為解決居高不下的房價所造成的民怨，立法院於 2011 年4月15日三讀通過特種貨物及勞務稅條例(簡稱奢侈稅)，以期抑制投機客達到控制不動產市場價格之目的。不動產投資信託基金(REITs)的興起，投資人得以毋須面臨投資實質不動產之困擾，藉由投資REITs參與不動產市場投資，以擴大其投資範圍，故在本研究旨在探討課徵奢侈稅對不動產投資信託基金及營建股之影響，並探討不動產為投資標的的不動產投資信託基金及營建股間關聯性。本文透過多變量時間序列進行分析，包括共整合檢定、向量自我迴歸模型、Granger 因果檢定，GARCH模型。
實證結果發現奢侈稅對不動產投資信託價格波動性及營建股價格波動性皆有顯著的影響，而營建股與不動產投資信託之間的長期共整合情形不顯著。原因可能是兩者雖具有不動產相關題材，投資人持有T-REITs的態度迥異於營建股的短線獲利。另外，奢侈稅的推行，僅短期影響股價，長期而言，無論是營建業或是不動產業者為了避免受到衝擊，有其規避奢侈稅的方法，因此，奢侈稅的影響有限，僅波動性受到影響，這兩種房地產市場仍持續其歷史走勢。

關鍵字

不動產投資信託基金 ； 營建股 ； 奢侈稅 ； 多變量時間序列分析

並列摘要

In order to solve the continuously rising prices of housing and to avoid speculators dominating real estate market, Legislative Yuan had passed the Specifically Selected Goods and Services Tax Regulation (referred to the Luxury Tax) on 15 April, 2011. Real Estate Investment Trusts are getting popular in Taiwan. Except construction stocks, real estate investors would expand their investment scope through Real Estate Investment Trusts. This thesis aims to explore the influence of Luxury Tax on T-REITs and construction stocks and also discuss the relation between T-REITs and construction stocks as well. Multivariate time series analyses, including Cointegration test, VAR Model, Granger causality test, Generalized autoregressive conditional heteroskedasticity model, are used in this study.
Study results show that there is no significant long-term integration relationship between T-REITs and construction stocks due to the different types of investors for investing two markets. The reason is investors holding T-REITs for long-term profitability and holding Construction Stocks for short-term profitability. Study results also imply that the luxury tax only have short-term impact on two real estate markets. In the long-term, construction industry or real estate industry could have their strategies to avoid Luxury Tax. Therefore, the performance of Luxury Laws is limited, while the real estate markets still remain their historical trend.

並列關鍵字

Construction stocks ； REITs ； Luxury Tax ； Multivariate time series analysis.

參考文獻

陳品蓁 (2012)，貨幣政策及奢侈稅對營建股價短期影響之研究，朝陽科技大學財務金融系碩士論文。

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