臺灣股票期貨除權除息節稅及退稅效果研究

A Study of Tax Saving and Tax Refund Effects by Taiwan Single Stock Futures during Ex-Dividend Days

顏敏光(MIN-KUANG YEN)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2012年)

摘要

本研究主要係以臺灣期貨交易所掛牌之股票期貨契約為例，探討運用股票期貨之稅負優惠及其標的證券在兩稅合一制度下之交易操作能為投資人創造多少的節稅及退稅效益。本文以期交所於2011年5月3日調整契約規格後曾除權除息之股票期貨及其標的證券為樣本，進行適用不同個人綜合所得稅稅率級距之投資人節稅及退稅分析，並探討是否有較佳之交易價格策略。再利用市場模型及取自然對數轉換後之交易量進行研究，探討投資人是否已有運用股票期貨及其標的證券間之買賣操作進行節稅及退稅交易行為。研究結果發現：
1.節稅效果部分，綜所稅率5%之投資人無法取得節稅效果；適用綜所稅率12%以上之投資人則可透過股票期貨與標的證券間之買賣操作獲得節稅效益。而所得稅率越高之投資人，報酬率越佳。
2.退稅效果方面，綜所稅率12%以下之投資人可透過股票期貨與標的證券間之買賣操作獲得退稅效益；而綜所稅率20%以上之投資人，並無退稅效益。
3.最佳之價格策略為於除權(息)日前一日以均價進行交易，並於除權(息)日後以開盤價進行反向操作。
4.取自然對數後之股票期貨及其標的證券交易量於除權(息)日前後同步出現顯著之異常交易量，證明投資人短線交易熱絡，有運用股票期貨進行節稅及退稅交易情形。

關鍵字

股票期貨 ； 兩稅合一 ； 除權除息 ； 節稅 ； 退稅

並列摘要

The purpose of this study is to explore how much investors can earn from tax saving or tax refund by means of transactions between single stock futures and the underlying securities under the imputation tax credit system. In this research, single stock futures listed on Taiwan Futures Exchange as the issuers of the underlying securities traded on Taiwan Stock Exchange that made dividend distribution after May 3rd 2011 to the end of this year were chosen as research targets to analyze tax saving and tax refund effects with different personal income tax rates investors. In addition, the purpose of this study is to also try to figure out what the best trading price strategy is. Market Model with natural logarithm transformed daily trading volumes of single stock futures and the underlying securities were adopted in examining the behavior of investors.
The final results of this research illustrate the followings:
1.Investors with 5% income tax rate cannot earn from tax saving by transactions between single stock futures and the underlying securities; however, the rest of the investors with higher income tax rates can.
2.Only investors with income tax rates under 12% can profit from tax refund.
3.The best trading price strategy is to trade with average price on the day before ex-dividend day, and offset with opening price on ex-dividend day.
4.The regression results show that there are substantial increases in natural log transformed trading volumes of single stock futures and the underlying securities during the periods before and after the ex-dividend day, which prove that investors actually trade between single stock futures and the underlying securities for tax saving and tax refund purpose.

並列關鍵字

tax refund ； tax saving ； ex-dividend ； imputation tax credit system ； single stock futures

參考文獻

[2]　林世銘、陳國泰、張鼎聲 (2003)，「兩稅合一後除權除息之租稅規避行為」，當代會計，第4卷第2期，119-142頁。

[1] Ajinkya, B. B. and P. Jain. 1989. The Behavior of Daily Stock Market Trading Volume. Journal of Accounting & Economics Vol.11(November): 331-359.

[2] Bamber, L. 1987, Unexpected Earnings, Firm Size, and Trading Volume around Quarterly Earnings Announcements. The Accounting Review 61 (July): 510-532.

[3] Elton, E., and M. Gruber. 1970. Marginal Stockholder Tax Rates and Clientele Effect. Review of Economics and Statistic 52 (February): 68-74.

[4] Kalay, A. 1982. The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect. Journal of Finance 37: 1059-1070.