稅則法規和匯率對於外資行為和特色的影響:伊斯坦堡股市交易個案

The Effects of Tax Regulations and Exchange Rate on the Behavior and Characteristics of Foreign Investors: A Case of Istanbul Stock Exchange

蘇雷曼(Süleyman Sönmez)

指導教授 ： 何憲章

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00736

摘要

本論文探討了伊斯坦堡證劵交易所(ISE)的稅則法規和匯率對於外資行為和特徵的影響。Granger因果關係檢測了從二零零五年十一月二十八日到二零零八年三月十九日伊斯坦保證劵交易所的外國歸屬幣值及匯率間的關係，證實結果顯示當土耳其幣值(里拉)增值時，在伊斯坦保證劵交易所外資參與的股票總數百分比和市場資本百分比兩者佔的比率均增加。Granger因果關係檢測顯示匯率的改變造成了外國歸屬的改變，但是在伊斯坦保證劵交易所的匯率改變卻不是由外國歸屬的改變所導致。
更進一步發現，在稅率增加後，外資交易的百分比減少；但是，當外資的稅率減除時，外資交易的百分比又再度增加。雖然，證實結果沒顯示關於返回資本更充足的證據，但是本論文主題的媒體報導分析是相等於現有理論中“資本外逃”和“返回資本外逃”的根據。

關鍵字

伊斯坦堡股市交易 ； 外資行為

並列摘要

This thesis examines the effects of tax regulations and exchange rates on the behavior and characteristics of foreign investors on the Istanbul Stock Exchange (ISE). The relationship between the value of foreign ownership on the ISE and exchange rate is tested using Granger causality for the period covering November 28, 2005 to March 19, 2008. Empirical findings show that when Turkish Lira (TL) appreciates the foreign participation on ISE increases both in terms of percentage of total number of stocks and percentage of market capitalization. The Granger Causality test shows that the changes of foreign ownership are caused by the changes in the exchange rate; however, the changes of the exchanges rate are not caused by the changes in the ownership of foreigners on ISE.

We further find that after the increases in the tax rate, the percentage of transactions made by foreign investors decreases, but with the elimination of taxes on foreign investors, it increases again. Analysis of media coverage around this topic is parallel with the existing theory about the “capital flight” and “return of capital flight” albeit the empirical findings do not show strong evidence for the return of capital.

並列關鍵字

Istanbul Stock Exchange ； Foreign Investors ； Capital Flight

參考文獻

1) Adabag, C. and Ornelas, J.R.H. (2004) "Behavior and Effects of Foreign Investors on Istanbul Stock Exchange" Central Bank of Brazil.

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5) Darrat, A. F. and Benkato, O. M. (2003) “Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange” Journal of Business Finance, Accounting, Volume September/October.

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