臺灣博碩士論文加值系統

新興市場國家的資本市場快速成長，已為許多跨國投資人、學者研究的議題，根據IMF國際收支的統計，亞洲新興市場國家的資本流入從1990年代呈現增加的趨勢，到金融風暴發生後，資本流入再從減少轉為增加的趨勢，顯示國際資本流動與投資標的市場有關，而此關係極有可能是與投資報酬及各國政策有關。過去研究投資報酬的文獻，以租稅競爭為原因或以直接投資為造成投資報酬的觀察變數。不同於上述文獻，本文則從租稅角度，探討股票報酬的影響，說明租稅是否為影響投資報酬的重要因素。
本文以稅率改變，對股票報酬造成的改變為主要分析目的，以東協五國，印尼、馬來西亞、菲律賓、新加坡、泰國為對象，採用panel tests of pooled data，分析各國大盤股市1991年至2005年的股利、系統風險、股市市值與股利扣繳稅率，並以S&P 500為全球大盤報酬的代理變數、以及美國國庫卷3個月利率為無風險利率的代理，在資本利得稅率低於股利稅率的情形下，分析各國股市大盤報酬所受到的影響。
實証結果顯示，股利稅率與股票報酬存在正向關係，說明股利稅率增加，投資人稅負加重，則希望稅前股票報酬提高，以彌補稅負。股利扣繳稅率對股票報酬有正向影響，說明股利扣繳稅率增加，使得投資人要求更多稅前股票報酬。因此股利收益與股利稅率之增加皆使投資人要求提高股票稅前報酬，以彌補稅負。又相較於其他工業國家較高的資本利得稅率，東協國家的低資本利率或甚至無資本利率，因此能作為投資誘因，符合稅率可作為吸引投資之誘因的假設。
東協自由貿易區的成立，主要目的在追求經濟發展，因此透過解除資本、貿易等限制，希望引進更多投資流入東協國家，而本文結論說明東協國家以低稅率作為吸引投資之誘因的政策可行，但同時也會產生租稅競爭的不良效果。

The rapid growth of capital markets in emerging countries has come as a popular issue for cross-country investors and scholars. According to the IMF statistics of international balance of payments, the capital flows to Asian emerging countries has kept rising since 1990s until the Asian Financial Crisis, which shows international capital movements are related to the markets invested. Such relation is most likely connected with return on investment and every country’s policies which inspire the motivation of this thesis to investigate the determinants of stock return. Unlike previous studies that attribute the changes of investment return to tax competition or foreign direct investment, this thesis investgate the effects of tax on stock returns to explain whether tax is an important factor that affects investment return.
Using panel tests of pooled data, this paper investigate whether the dividend yield, the systemtic risk, the stock market capitalization and the dividend withholding tax rates of ASEAN five countires, including Indonesia, Malaysia, Philippine, Signapore and Thailand have effects on their stock market returns. The S&P 500 global index and the rate of U.S. 3-month treasury bill are included in the model to proxy the global stock market index and risk free rate. Under the capital gains tax rate is lower than dividend tax rate, this article analyzed the changes of stock market returns in every ASEAN countries.
The empirical results show that there’s a positive relationship between dividend yield and stock returns, which illustrates when the dividend yield increases, the dividend tax burden to investors are more heavy thus investors demand higher stock returns before tax to compensate. The empirical results also show that the dividend withholding tax rates have a positive effect on stock returns resulting from the tax rates higher, investors ask for more stock return before tax. The above relationship supports the hypothesis that ASEAN countries can take their tax rates as a factor that attract investment.

第一章　緒論 1
第一節　研究動機與目的 1
第二節　研究限制 3
第三節　研究架構與流程 3
第二章　文獻回顧 6
第一節 租稅理論 6
第二節 投資形式與種類 7
第三節 租稅與國際資本流動 9
第四節 租稅改革 12
第五節 實証文獻 13
第三章　理論模型與研究方法 16
第一節 理論模型 16
第二節 研究範圍與變數定義 17
第三節 研究方法 18
第四節 POOLED DATA 20
第四章　實證結果及分析 27
第一節 敘述統計 27
第二節 結構改變檢定 31
第三節 PANEL TESTS OF POOLING 35
第五章　結論與建議 47
第一節　結論 47
第二節　建議 48
第三節　後續研究 48
參考文獻 49
附錄一 1990年代國際資本流入情形 53
附錄二 東協五國股市相關稅率 54

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三、網路資源
1.http://sear.cier.edu.tw/ 中華經濟研究院
2.http://twbusiness.nat.gov.tw/analy/a06.htm 主要國家投資環境分析
3.http://www.aseansec.org/東協組織網站
4.http://www.asiatradingonline.com/taxemployees.htm 泰國稅制介紹
5.http://www.offshore-manual.com/taxhavens/Singapore.html 新加坡稅制介紹
6.http://www.prctaxman.com.cn/Indonesia.htm 印尼稅制介紹
7.http://www.imf.org/external/pubind.htm IMF, World Economic Outlook Financial Crises: Causes and Indicators, May 1998 & World Economic Outlook Globalization and Inflation, IMF, April 2006
8.http://www.imf.org/external/index.htm International Monetary Fund: International Financial Statistics Yearbook, 2005, pp.95-97
9.http://www.netlibrary.com Thirsk Wayne, Tax Reform in developing countries, Washington, D.C.,World Bank, 1997, electronic books