貨幣政策及奢侈稅對營建股價短期影響之研究

The Impact of Monetary Policy and Luxury Tax on the Short Term Construction Stock Price

陳品蓁(Chen-Pin Chen)

指導教授 ： 周宗南 ； 鄭廳宜

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本研究期間取自2010年6月25日至2011年6月11日止，財政部宣告實施奢侈稅之上市營建股為對象，比較中央銀行調高利率與財政部宣告實施奢侈稅對營建股短期股價之反應，並作差異之比較。
實證結果指出：(1)縱使實質利率為負，在中央銀行第一次調高利率後之宣告效果，對營建股股價會有相當之衝擊而產生負的異常報酬率。(2)財政部課徵奢侈稅的消息一出後營建股股價產生負的異常報酬率。這說明在財政部預擬實施奢侈稅之前已有些投資者知悉政府實施奢侈稅之決心，造成營建股股價先行下跌。(3) 財政部課徵奢侈稅營建股股價產生負的異常報酬率絕對值大於央行調高利率後，營建股股價產生負的異常報酬率。(4) 中央銀行第一次調高利率後，營建股股價產生負的異常報酬率絕對值大於中央銀行第二、第三與第四次調高利率後，營建股股價產生負的異常報酬率(5)財政部於2011年6月1日正式實施奢侈稅時，營建股股價先行反應此利空的衝擊。

關鍵字

奢侈稅 ； 實質利率 ； 異常報酬率

並列摘要

This study covers the period from June 25, 2010 to June 11, 2011 and the samples are selected on the basis of the companies listed in construction sector of TAIEX while the Ministry of Finance announced the luxury tax. We examine the effects of the implementation of the luxury tax and the raised interest rates by the Central Bank on stock prices and evaluate their short-term performances.
Empirical results indicate that: (1) Even though real interest rates was negative, the stock prices of construction sector experienced negative abnormal returns since the Central Bank first raised interest rates. (2) The stock prices of construction sector yielded negative abnormal returns after the imposition of luxury tax announced by the Ministry of Finance. This result showed that investors noticed the government''s determination to implement a luxury tax before the Ministry of Finance schemed out the luxury tax and then resulted in construction stocks fall ahead. (3) The negative abnormal returns in absolute value caused by luxury tax were higher than those of raising interest rates. (4) The negative abnormal returns in absolute value of construction sector generated by the central bank raised interest rates for the first time were greater than the values for the second, third and fourth interest increases. (5) In respond to the official implementation of the luxury tax by the Ministry of Finance on June 1, 2011, the stock prices of construction sector responded earlier to the impact of the bad news.

並列關鍵字

abnormal returns ； real interest rates ； luxury tax

參考文獻

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