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研究生:歐陽志仁
研究生(外文):Ou Yang, Zhi-Ren
論文名稱:股票市場證券交易所得稅與價格波動性之理論探討
論文名稱(外文):Stock Market Transaction Tax And Price Volatility: A Theoretical Analysis
指導教授:郭文忠郭文忠引用關係
指導教授(外文):Guo, Wen-Chung
口試委員:郭文忠張世忠賴孚權陳軒基
口試委員(外文):Guo, Wen-ChungChang, Shih-ChungLai, Fu-ChuanChen, Hsuan-Chi
口試日期:2012-07-03
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:62
中文關鍵詞:證券交易所得稅價格波動性證券交易稅雜訊交易者
外文關鍵詞:Capital gains taxNoise traderPrice volatility
相關次數:
  • 被引用被引用:14
  • 點閱點閱:1004
  • 評分評分:
  • 下載下載:200
  • 收藏至我的研究室書目清單書目收藏:1
資本利得稅與證券交易稅是政府為了要監督金融市場的一種工具。在直觀上,資本利得稅與證券交易稅增加會導致雜訊交易者比例及市場波動性下降。但是,另外一個看法,認為增加資本利得稅與證券交易稅會導致市場波動性變大。

本論文目的為討論在一般均衡架構中資本利得稅與證券交易稅對於市場波動的影響。存在基礎風險與供給風險的模型下,當資本利得稅與證券交易稅增加,本論文結果得到雜訊交易者與市場波動下降的傳統觀點,以及雜訊交易者與市場波動上升的相反觀點。

在這篇論文中,研究當資本利得稅與證券交易稅增加對於市場波動性影響,需要考慮到市場波動性與雜訊交易者比例,在市場波動與雜訊交易者比例較低的國家,增加資本利得稅與證券交易稅,可能有助於減少市場波動。反之,在雜訊交易者比例與市場波動較高的國家,增加資本利得稅與證券交易稅,會導致市場波動上升。

然而,在本論文中,當考慮雜訊交易者人數外生給定下,均衡證券價格與證券淨供應量變化、證券價格波動、風險趨避程度,以及證券股利波動呈現負向關係,而與錯估預期價格均衡、錯估預期價格、雜訊交易者比例,以及證券股利呈現正向關係。但是,證券均衡價格與無風險資產利率、資本利得稅,以及證券交易稅則不一定。此外,雜訊交易者與預期證券價格變異、證券交易稅,以及資本利得稅呈現負向關係,而與基本股利風險、證券價格波動,及風險趨避程度呈現正向關係。但是,錯估預期證券價格對於雜訊交易者的影響則不一定。

關鍵字:證券交易所得稅、價格波動性、證券交易稅、雜訊交易者

This thesis discusses the influences capital gains tax and securities transaction tax on stock market fluctuations in a general equilibrium framework. Considering fundamental risk and supply risk, this study finds that when the increase in capital gains tax and securities transaction tax, either the number of noise traders and market volatility both decrease, or noise traders and market volatility both increase.

This study suggest that equilibrium prices of securities are negatively associated with security net supply, securities price, the degree of risk aversion and securities dividend volatility. Furthermore, equilibrium prices of securities are positively associated with the misprice level of noise traders, the number of noise traders and securities dividends. However, the effects of risk-free interest rates, capital gains tax, as well as the securities transaction tax on security prices are not determined.

Keyword: Capital gains tax; Noise trader; Price volatility

第一章 緒論 1
第一節 研究動機與目的 1
第二節 資本利得稅實務介紹 3
第二章 文獻回顧 8
第三章 基本模型 13
第一節 模型設定 13
第二節 資本市場均衡條件 16
第四章 證券市場價格波動 20
第一節 外生進入條件 20
第二節 市場進入均衡 21
第五章 證券價格與雜訊交易者的比例之比較靜態分析 26
第一節 證券價格 26
第二節 雜訊交易者 32
第六章 資本利得稅和證券交易稅的效果 36
第一節 無基礎風險與供給風險 38
第二節 存在供給風險且無基礎風險 46
第三節 存在基礎風險且無供給風險 53
第七章 結論與建議 57
參考文獻 59

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