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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20333
標題: | 股票期貨稅率套利 Tax Arbitrage of Stock Futures |
作者: | Ling-Yu Lu 盧玲鈺 |
指導教授: | 李存修 |
關鍵字: | 股票期貨,稅,除權息,套利,基差, Stock futures,Tax,Ex-dividend,Arbitrage,Basis, |
出版年 : | 2017 |
學位: | 碩士 |
摘要: | 自股票期貨上市以來,國內開始有人研究以此作為套利工具,大致遵循同一模式,即除權息前賣出股票買入期貨、除權息後再反向回補,比較股利淨額在進行操作扣除成本後,和未操作繳交稅額後兩者效益差異,當中假設期現貨價格相等,股價不變或恰好下跌現金股利幅度,本研究設計三種策略,區分為原無股票及持有股票,根據資料選定兩實行時點進行模擬,與以往不同,考慮資產價格真實波動,推估實質整體獲利,預期策略有效性,實證結果顯示原本未持有股票時,不論課稅制度如何更改,操作期貨預期可獲得較好報酬,兩實行時點皆有顯著檢定結果,持有股票時進行避稅操作於除權息前一日預期較佳,連低稅率級距都有套利可行性,而由理論推得之稅率與獲利無發現必然相關,在樣本數較多時,隱含稅率符合實際情況,而期貨仍有被低估之嫌,對基差之檢測大致如同預期,部分顯著,除權息前投資人更加頻繁操作於市場中反映。 Since stock futures became available in Taiwan, some researchers start to focus on using them as arbitrage instruments. The arbitrage strategies generally follow the same pattern—buying futures and selling stocks prior to the ex-dividend date, then buying back the stocks and selling the futures post ex-dividend. Afterwards, they compared net dividends from two ways after individually subtracting transaction costs and revenue tax on the basis of assumption of the same stock prices or decline equal to cash dividends. This research proposes three strategies to differentiate between holding stocks or not. I selected two initial times to simulate profits, taking real time fluctuation of the asset price into account in order to infer predictive profitability. The result showed that while not holding stock, investing in the futures market predicts a better profit with both significant. While holding stock, it is extremely significant when the initial time is just before ex-dividend date. I also infer the relation between profits and implied tax rates, while there is no absolute relevance. They more fits reality before ex-dividend date. Futures still have probability of being undervalued. As to the examination into basis, both times in almost every year are consistent to the prediction with partial significance. Frequent manipulation of investors prior to the ex-dividend date are reflected in the market. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20333 |
DOI: | 10.6342/NTU201704189 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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