企業有效稅率對臺股成交量之影響

全球股市在減稅競賽的浪潮下，嶄露預期榮景，其中企業減稅措施更是注目焦點。為探討企業的稅負對臺灣股市的影響，本文以股市成交量為被解釋變數，企業有效稅率（以下簡稱有效稅率）、股東權益報酬率、負債比率、股票報酬率、狹義貨幣供給額年增率、匯率、國內生產毛額年增率、三大法人持股率、有效稅率與三大法人持股率交乘項，以及有效稅率與國內生產毛額年增率交乘項為解釋變數，並分別以傳統迴歸法及分量迴歸法驗證有效稅率與臺股成交量的相關性。實證結果發現在傳統迴歸法下，成交量與單獨的有效稅率間雖具有顯著的負向關係，但隨著財務基本面、總體經濟面、籌碼面等變數或交乘項陸續加入後，兩者間的負向關係漸而轉變為正向關係。再以分量迴歸法進行分析，則發現有效稅率隨著其他各項變數加入後，與各分量之成交量分別有不顯著、降低顯著效果或方向性不同的情形發生，有別於傳統迴歸法所得結果。同時也發現，有效稅率相較於其他變數，對成交量的影響其實有限，顯示投資人在做投資決策時，更在意股票投資報酬率、企業為股東賺錢的能力、舉債能力以及總體經濟的表現與法人持股的變化。

關鍵字

成交量；有效稅率；分量迴歸法

並列摘要

To explore the impact of corporate tax burden on Taiwan's stock market. This article takes the stock market volume as the explained variable and the effective corporate tax rate (hereinafter referred to as ETRs), the returns on equity, the debt ratio, the stock return rate, annual growth rate of M1B, exchange rate, annual growth rate of GDP, shareholding ratio of institutional investors, the ETRs, the transfer of the institutional investor shareholding ratios, and the interim account of the ETRs and the annual growth rate of GDP are explanatory variables. Also, the relationship between the effective tax rate and the trading volume of Taiwan stocks was verified by ordinary least squares (OLS) and quantile regression (QR). The empirical results show that under the OLS, there is a significant negative relationship between the volume and the ETRs, but considering the financial fundamentals, the overall economy, the float and other variables or the intersections are added, the negative relationship gradually changes to a positive relationship. Then, with the QR, it is found that the impact of ETRs on trading volume is non-significant, decreased significant effect and different tendency when other regression variables added, and the results are different from the OLS. At the same time, it is also found that the ETRs has a limited impact on trading volume compared to other variables, indicating that investors are more concerned about the return on stock investment, the ability of enterprises to make money for shareholders, the ability to borrow, the overall economic performance and changes of holdings with institutional investors.

並列關鍵字

Trading Volume ； Effective Corporate Tax Rate ； Quantile Regression

參考文獻

Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 34, 139-149. doi:10.1016/j.jbankfin.2009.07.010

任立中與林珮瑩(2013)，“台北市傳統零售市場消費型態之分析—分量迴歸模型之應用”，《行銷科學學報》，9(1)，77-108。