股票期貨節稅策略及到期異常報酬分析–以台積電為例

近年來，全球期貨及其他衍生性商品市場日益蓬勃發展，而股票期貨堪稱是1982 年股價指數期貨推出之後，股權類衍生性商品的另一項明星商品。由於股票期貨具有成本低廉、操作靈活及更具效率之特性，漸已成為開發中國家交易所之明星商品。本研究之研究對象係於研究期間內台股加權指數所占比例及市值最大之公司，亦即台灣積體電路公司之股票其股票期貨為研究對象。台積電股票深受外資法人青睞，為一可能操作標的而在各大券商研究部所提出的股票期貨節稅議題正日漸萌芽，本研究以台積電股票為例，示範如何以股票期貨節稅，並且改變其中參數，如股利金額、可扣抵稅額及個人所得稅率來檢視在何種條件之下，節稅效益會達到最大? 到期日的資料來源是台灣期貨交易所所下載之歷史資料，而在到期日當天結算價會歸零計算，本研究則據此在2010 年6 月到2012 年10 月一一篩選出29 個到期日，作為事件研究之事件日。而研究結果顯示，在可操作節稅策略期間，台積電有顯著異常報酬存在。

關鍵字

單一股票期貨；節稅策略；到期效應

並列摘要

In recent years, global futures and other derivatives market has growth rapidly, and single-stock futures became a golden cow in the exchange of emerging country because of its low cost and trading efficiency。 The research target in this thesis is Taiwan Semiconductor Manufacturing Company and its market value is the biggest in Taiwan weighted index. Its stock is popular to foreign institutional investor . And the issue in tax mitigation by single-stock futures has become popular. This research demonstrate how to do tax mitigation using single-stock futures, and we change the parameter including dividends and personal tax rate in order to see in what condition we will make the max profit. The data of expiration date we use is provided by Taiwan Futures Exchange. The settlement price will equal to zero in settlement day, we according this rule to find out all 29 expiration date as an event in event study during 2010/6~2012/10. And the empirical result shows that there does exist abnormal return during this period.

並列關鍵字

single-stock futures ； tax mitigation strategy ； expiration effect

參考文獻

陳佳政、陳政位與黃金生（2009），臺股指數衍生性商品到期日效應

Alkeback, P. and N. Hagelin. (2004). Expiration Day Effects of Index

顏敏光（2012），臺灣股票期貨除權除息節稅及退稅效果研究，國立

Settlement Period. Applied Financial Economics, 14:385-396.

Andersen, T. G. and Bollerslev, T. (1997). Heterogeous Information

被引用紀錄

盧玲鈺（2017）。股票期貨稅率套利〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU201704189

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股票期貨節稅策略及到期異常報酬分析–以台積電為例

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