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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 李賢源 | |
dc.contributor.author | Chung-Yu Lee | en |
dc.contributor.author | 李重鄅 | zh_TW |
dc.date.accessioned | 2021-06-07T23:45:24Z | - |
dc.date.copyright | 2014-08-21 | |
dc.date.issued | 2014 | |
dc.date.submitted | 2014-06-30 | |
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Notes on the effect of capital gains taxation on non-Austrian assets, Economic Policy in Theory and Practice, 309-339. Lean, H. H., Smyth, R., & Wong, W. K. (2007). Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach. Journal of Multinational Financial Management, 17(2), 125-141. Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management Science, 38(4), 555-593. Lodhi, K. M., & Shah, S. M. (2013). Impact of Capital Gains Tax on Stock Investment in Pakistan. Information Management & Business Review, 5(7). Malz, A. M. (1996). Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark. Journal of International Money and Finance, 15(5), 717-748. Mao, C. W., & Chang, M. J. (2011). The Impact of Capital Income Tax to the Financial Market-Evidence from 18 Countries. International Research Journal of Finance and Economics, 71, 145-159. Melick, W. R., & Thomas, C. P. (1997). Recovering an asset's implied PDF from option prices: an application to crude oil during the Gulf crisis. Journal of Financial and Quantitative Analysis, 32(01), 91-115. Reese Jr, W. A. (1998). Capital gains taxation and stock market activity: evidence from IPOs. The Journal of Finance, 53(5), 1799-1819. Roache, S. K., & Rousset, M. M. V. (2013). Unconventional Monetary Policy and Asset Price Risk (No. 13-190). International Monetary Fund. Rothschild, M., & Stiglitz, J. E. (1970). Increasing risk: I. A definition. Journal of Economic theory, 2(3), 225-243. Schmid, F., & Trede, M. (1998). A Kolmogorov-type test for second-order stochastic dominance. Statistics & probability letters, 37(2), 183-193. Shimko, D. (1993). Bounds of probability. Risk, 6(4), 33-37. Sikes, S. A., & Verrecchia, R. E. (2012). Capital gains taxes and expected rates of return. The Accounting Review, 87(3), 1067-1086. Slemrod, J. (1982). Stock transactions volume and the 1978 capital gains tax reduction. Public Finance Review, 10(1), 3-16. Somers, H. M. (1948). An Economic Analysis of the Capital Gains Tax. National Tax Journal, 226-232. Stiglitz, J. E. (1983). Some aspects of the taxation of capital gains. Journal of Public Economics, 21(2), 257-294. Whitmore, G. A., & Findlay, M. C. (Eds.). (1978). Stochastic dominance: an approach to decision-making under risk. Lexington Books. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16759 | - |
dc.description.abstract | 政府在推行許多政策時都可能造成金融市場的波動,並對證券市場造成深刻的影響。2012年初,前經建會主委劉憶如即轉任財政部長,並提出復徵證券交易所得稅之議題,與此同時如何穩定社會大眾對金融市場的信心,也是稅制改革須考量的因素。本研究透過研究文獻中對復徵證所稅事件做了詳細的探討,並且歸納和整理出了八個事件與其對應的實證假說。
本研究以選擇權價格隱含的市場資訊為研究對象,藉由風險中立機率分配與隨機優勢檢驗理論之結合,提出一簡便計算且容易操作之實證模型。透過風險中立機率分配的消減變化,能推測市場對於事件所產生之反應。實證結果呼應Reese(1998)主張資本利得稅率調整之行為,會對股票市場報酬分配造成影響。 在假說一、二、三、五、七和八中,本研究經風險中立機率分配理論推測對市場會造成影響,並經由隨機優勢檢驗後說明其為顯著,正好呼應Somers (1948) 、Stiglitz (1983)認為課徵資本利得稅是造成經濟波動的因素,且加深股價波動之程度。此外,假說七、八顯著證明當復徵證所稅相關事件產生對投資大眾有利之訊息時,對證券市場會構成正面影響,也呼應了Lodhi and Shah (2013) 對巴基斯坦證券市場的看法,認為當緩徵、停徵資本利得稅等對投資大眾有利之消息一出,將會有效恢復投資人之信心。整體而言,本研究透過更易操作之實證模型,做出相較於相關文獻更深入之探討。 | zh_TW |
dc.description.abstract | The former Finance Minister of Taiwan, Christina Liu, proposed to regain the capital gains tax on Taiwan stock market in the beginning of 2012, and there was a sharp decline in stock index subsequently. In this study the events of imposing the capital gains tax on Taiwan stock market was analyzed in detail and the eight events with their empirical hypotheses were summarized. Each market event was analyzed by the combination of risk-neutral probability density functions and was tested for stochastic dominance.
In hypotheses, no. 1, 2, 3, 5, 7, and 8 have significantly impacts on the stock market, which exactly corresponded with the findings of Somers (1948) and Stiglitz (1983) that considered the imposing capital gains tax on securities was the factor which leads to economic fluctuations and the increasing of the volatilities of stock market. In addition, hypothesis no. 7 and 8 prominently proved that when market events of imposing capital gains tax on Taiwan stock market are beneficial to the investors, a positive impact would be imposed in the stock market. It corresponded with the results of Lodhi and Shah (2013) who analyzed Pakistan stock market and found that a market event, such as the delay or the suspension of imposing capital gains tax on securities can cause the investors to restore their confidence. From an overall perspective, this study has conducted a relatively decent research than other past research papers through the use of a more user-friendly empirical model. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T23:45:24Z (GMT). No. of bitstreams: 1 ntu-103-R01723026-1.pdf: 7318819 bytes, checksum: 2737f3e6e0b330b7a3793549e880fe1f (MD5) Previous issue date: 2014 | en |
dc.description.tableofcontents | 口試委員會審定書 #
誌謝 i 中文摘要 ii 英文摘要 iii 目錄 iv 圖目錄 vi 表目錄 ix 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 6 第一節 資本利得稅影響證券市場之研究 6 第二節 風險中立機率分配 8 第三節 隨機優勢理論 11 第三章 研究方法 12 第一節 研究假說 12 第二節 風險中立機率分配 18 第三節 隨機優勢理論 22 第四節 實證模型 23 第四章 實證結果 26 第一節 資料來源 26 第二節 驗證假說 29 一、各事件期間之風險中立機率分配 29 二、各事件期間之一階隨機優勢檢驗 62 第五章 結論與建議 96 參考文獻 97 附錄 101 | |
dc.language.iso | zh-TW | |
dc.title | 以風險中立機率分配探討復徵證所稅之影響 | zh_TW |
dc.title | The Impact of Regaining the Capital Gains Tax on Taiwan Stock Market Under Risk-Neutral Probability Density Functions | en |
dc.type | Thesis | |
dc.date.schoolyear | 102-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 謝承熹,邱嘉洲 | |
dc.subject.keyword | 風險中立機率分配,混合對數常態分配,隨機優勢,資本利得稅,證券市場, | zh_TW |
dc.subject.keyword | Risk-Neutral Distributions,Mixture Lognormal Distributions,Stochastic Dominance,Capital Gains Tax,Securities Market, | en |
dc.relation.page | 116 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2014-07-01 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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