復徵證所稅對台股市值及週轉率之影響

The effects of capital gains retax on Taiwan’s stock market capitalization and turnover

蕭為瀚(Wei-Han Hsiao)

指導教授 ： 單珮玲

淡江大學/商管學院/會計學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00769

摘要

本研究主要探討台灣證券市場自2013年起恢復課徵證所稅對於股票市場及風格類股的股票市值變化與週轉率之預期與實質效果。在透過向量自我迴歸VAR(p) 模型以考量股票市值與週轉率之間的交互影響後，檢測當恢復課徵證所稅的前半年，以及課稅後的半年內和半年至一年期間中的股票市值和週轉率的影響情況。研究結果發現在課徵證所稅新政策上路實施後，所有的股票投資組合之市值均一致呈現上升的情況。但在平均每日的週轉率方面，則發現整體股市、大公司規模及成長型公司是呈現下降，而小公司規模和價值型公司則是呈現上升的情況，發現不同的風格投資組合在週轉率影響的情況也會有所差別。
最後，在考量市值和週轉率的交互影響後，可發現整體股市與所有的風格投資組合皆不會存在任何的課稅效果。但在週轉率部份，則發現整體股市、大公司規模和成長型公司將會存在閉鎖效果，但在小公司規模和價值型公司方面則無，支持不同的風格類股會有不同的課稅效果。

關鍵字

證券交易所得稅 ； 預期效果 ； 實質效果 ； 價量關係 ； VAR模型

並列摘要

This paper focuses on the expected and real effects of the recovery of levying the capital gain tax for securities in 2013 on the stock market and the changes in market capitalization and turnover rate of style stocks. Considering the interaction of stock market capitalization and turnover rate through VAR (p) model, this paper tests the effects on stock capitalization and turnover rate in the half year before the recovery of levying the capital gain tax for securities, the half year after the recovery of levying the capital gain tax for securities, and the period from the half year to one year after the recovery of levying the capital gain tax for securities. The results indicate that the market capitalization of all stock investment portfolios consistently increases after the implementation of the new policy of levying the capital gain tax for securities. As for average daily turnover rate, it is found that the turnover rate of the overall stock market, the large companies and the growing companies decrease, while the turnover rate of small companies and value-type companies increase. Moreover, the investment portfolios of different styles differ due to the effects of turnover rate.
Finally, considering the interaction of market capitalization and turnover, it is found that there is no tax effect in the overall stock market and all the investment portfolios. However, as for the turnover rate, there is the blocking effect for overall stock market, large companies and growing companies, while no such effect exists for small companies and value-type companies. Hence, the findings confirm that the tax effects on different style stocks are different.

並列關鍵字

The Capital Gain Tax ； Expect Effects ； Real Effects ； Price-Volume Relationship ； VAR model

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