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研究生:周鈞翔
研究生(外文):Chun-Hsiang Chou
論文名稱:調降期貨交易稅對市場品質的影響:以台灣市場為例
論文名稱(外文):The Impact of Reducing Transaction Tax on The Market Quality:Evidence from Taiwan Market
指導教授:李瑞琳李瑞琳引用關係
指導教授(外文):Ruei-lin Lee
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:59
中文關鍵詞:交易稅買賣有效價差市場品質市場穩定性
外文關鍵詞:transaction taxmarket stabilitymarket qualitybid-ask effective spread
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期貨交易稅的稅率在過去十年中調降了二次,相對於新加坡證券交易所期貨交易稅的零稅率仍是偏高。近來市場上多了一股調降期貨交易稅的聲浪,但是較低的稅率雖然會加速資訊傳遞速度,但是投機交易者與避險交易者是否會造成市場不穩定及價差擴大?而這些市場品質目標卻時常相互衝突,何者應先考量,實屬不易。本研究延伸Chou and Wang (2006) 以日內資料及日資料,使用一般化動差法(General method of movement, GMM) 估計交易稅調降對台灣指數期貨市場品質的影響。本文主要貢獻在於將市場投資者分成投機者與避險者並分析政府部門對於交易稅的調降動作是在長期否有過或不及的現象?研究結果發現交易稅調降後,買賣價差增加會使交易量增加而未平倉量會減少,其中,價差拆解後交易價差及訂單處理成本會下降而存貨及逆選擇成本會上升,而交易量雖會增加但並不顯著,政府稅收亦會跟著增加,另外,投機者與避險者的交易策略在不同交易稅制下並無顯著不同,但皆會進一步影響現貨市場。最後,第二次降稅相對第一次降稅引發價差擴大及波動增加的現象,已緩和市場品質改善程度。
This paper extends the work of Chou and Wang (2006) to test the impact of reducing tax on the Taiwan future market quality by using intraday and daily data obtained from TEJ. Our contribution of this study is to divide the investors into speculators and hedgers and to analyze whether the current transaction tax is optimal. We find that, after reducing tax, an increasing in bid-ask spread increases trading volume and decreases open interest. The traded spread and order processing cost decreases but the inventory and adverse select cost increases. Although the volume increases insignificantly, the government tax revenue will increase. Finally, the feedbacks between speculators and hedgers in different tax rate regimes are insignificant, but speculators and hedgers impact traded spread and volatility in the long run. Hence, the second reducing tax leading to an increase in traded spread and volatility mitigates the improvement of the Taiwan futures market quality, with suggesting that the market seems to be a bit unstable.
目錄
摘要 I
Abstract II
誌謝 III
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第二章 文獻回顧 4
第一節 理論假說 4
第二節 交易量、價格波動與效率的關係 7
第三節 未平倉量與效率的關係 9
第四節 價差與效率的關係 11
第五節 交易成本與價格波動的關係 13
第六節 綜合小結 15
第三章 研究方法 19
第一節 資料來源 19
第二節 市場品質變數定義 20
第三節 實証模型 23
第四節 研究假設 29
第五節 單根檢定(Unit Root Test) 31
第六節 一般化動差法(General method of moment) 33
第四章 實証結果 35
第一節 單根檢定結果 35
第二節 市場品質敘述統計與交易稅對其影響結果 36
第三節 價差實証結果 40
第四節 結構性方程式實証結果 42
第五節 稅收實証結果 50
第五章 研究結論與建議 52
第一節 結論 52
第二節 研究限制 54
第三節 建議 54
參考文獻 55
附錄 58
表目錄
表2-1 文獻綜合一覽表 16
表4-1 總樣本期間之ADF單根檢定 35
表4-2 市場品質基本統計結果 38
表4-3交易稅對市場品質變數檢定結果 39
表4-4有效價差基本統計結果 40
表4-5交易稅對各價差部份檢定結果 41
表4-6 市場品質變數結構性方程式結果 49
表4-7 各年稅收變化表 51
附表一 市場品質變數複迴歸結果 58
附表二 市場品質變數逐步迴歸結果 59
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