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研究生:葉芳每
研究生(外文):YEH, FANG-MEI
論文名稱:證券交易所得稅制度變動事件對股票市場之影響
論文名稱(外文):The Influence of Securities Transactions Income Tax on the Stock Market
指導教授:余曉靜
指導教授(外文):YU, XIAO-JING
口試委員:林文昌林岳喬
口試委員(外文):LIN, WEN-CHANGLIN, YUAH-CHIAO
口試日期:2017-06-18
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融學系碩士在職專班
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:2017
畢業學年度:105
語文別:中文
論文頁數:37
中文關鍵詞:證券交易所得稅事件研究異常報酬公司治理
外文關鍵詞:securities transactions income taxevent studyabnormal returncorporate governance
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  • 收藏至我的研究室書目清單書目收藏:1
當政府有強制性政策公布,投資大眾及企業接收到此類訊息時,會將其心理預期反應在事件日相關產業或企業股價上,進而有異常報酬現象發生,並在短期內對衝擊資本市場。而本研究即以2013年至2015年針對證券交易所得課稅的變化之事件作研究,探討此事件是否對上市公司股票產生重大不利影響,而產生股價的異常報酬,並且以迴歸模型分析因課徵證券交易所得稅的所產生股價異常報酬與公司治理之間的關聯性,透過分析不同治理水平的公司,了解公司治理是否在政府強制性政策發布下,能產生調節或緩和股票異常報酬的作用。實證結果顯示:(1)在異常報酬部分,發現證券交易所得稅宣布即將開徵時,產生顯著負向異常報酬;政策確定施行,產生顯著正向異常報酬;第一次及第二次修正分別產生顯著負向及正向異常報酬;證券交易所得稅廢止確定時,產生顯著正向異常報酬。(2)在課徵證券交易所得稅產生的股價異常報酬與公司治理之間的關聯性部分,發現有良好公司治理的公司受到稅制變動的衝擊較小,且機構投資人持股比率可以緩和因課徵證券交易所得稅所產生的股價異常報酬,並穩定公司股價。綜上,投資人在選擇投資標的時仍應審慎評估該公司是否有良好的公司治理條件,因為有良好的公司治理可降低不利因子對公司的影響,公司的股價相對亦較穩定,可避免損失投資之效益。
When the government has a mandatory policy announcement, investment in the public and enterprises to receive such information, will be expected to reflect their psychological events in the relevant industry or corporate stock price, and then there are abnormal return, and impact on the capital market in the short term. This study considers the changes in taxation on securities transactions income from 2013 to 2015, and examines whether the event has a significant adverse effect on the stock of listed companies, resulting in an abnormal return on stock prices. Then we use regression analysis inspect relationship between the abnormal remuneration of stock price and corporate governance, and the analysis of the different governance levels of the company to understand whether corporate governance can play a role in regulating or mitigating abnormal stock return under the government's mandatory policy. The empirical results show that: (1) In the case of abnormal return, it is found that there is a significant negative remuneration when the securities exchange tax is declared to be levied; the policy is determined to produce significant positive abnormal remuneration; the first and second amendments produce significant negative and positive abnormal remuneration; securities exchange tax abolished to determine, resulting in significant positive abnormal remuneration. (2) In the part of the relationship between the abnormal return of the stock price and the corporate governance, it is found that the company with good corporate governance is less affected by the tax changes. And the shareholding percentage of institutional investors can alleviate the abnormal return of stock price at the time of securities transactions income tax imposed, stabilize company stock price. In conclusion, investors should carefully assess whether the company has good corporate governance conditions when selecting the target, because good corporate governance can reduce the impact of unfavorable factors on the company, the company's share price is relatively stable, to avoid investment losses.
圖目錄II
表目錄II
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
第三節 研究架構 4
第二章 文獻探討 5
第一節 稅制變動影響資本市場 5
第二節 公司治理與資本市場報酬 9
第三章 研究方法 13
第一節 事件研究法 13
第二節 實證迴歸模型 18
第三節 樣本篩選與資料來源 21
第四章 實證結果與分析 22
第一節 股票異常報酬率分析 22
第二節 累積平均異常報酬率迴歸分析 25
第五章 結論與建議 31
參考文獻 34


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