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標題: | 實施熱錢稅對證券業股價之影響 The Impact of the Tobin Tax Proposal on the Stock Return of the Security Industry |
作者: | Sheng-Hao Chiang 江昇壕 |
指導教授: | 林世銘 |
關鍵字: | 熱錢稅,事件研究法,累積異常報酬率,資本管制,貨幣政策, Tobin Tax,Event Study,Cumulative Abnormal Returns,Capital Controls,Monetary Policies, |
出版年 : | 2010 |
學位: | 碩士 |
摘要: | 我國中央銀行為展現對抗國際熱錢之決心,於2010年1月12日發布由總裁彭淮南所親擬之新聞稿,藉由闡述各重要國際組織及著名專家學者之意見,表明為了避免大量國際熱錢在進入我國後,扭曲外匯市場之定價機制及引發股市、資產泡沫化之問題,央行會採取適度之資本管制措施來因應,而對外資課徵熱錢稅即為選項之一。本文乃利用事件研究法探討我國中央銀行所拋出之熱錢稅議題,對上市及上櫃證券業股價累積異常報酬率產生之影響,並建立回歸模型分析樣本公司於事件期間之累積異常報酬率與資本適足率、公司規模及公司成長性等企業特性間之關聯性。
實證結果顯示:(1)我國中央銀行所拋出之熱錢稅議題對上市及上櫃證券公司股價產生負的累積異常報酬率;此外,上市及上櫃金融保險業股價之累積異常報酬率表現和整體股票市場趨勢呈反向變化,而其中又以證券業之表現為最顯著。(2)公司規模與樣本公司之累積異常報酬率呈正相關,即規模愈大者,累積異常報酬率之表現愈佳,受熱錢稅議題影響較小。(3)資本適足率及公司成長性與本研究樣本公司之累積異常報酬率未有顯著之關聯性。 In order to show the will of fighting with hot money, Taiwan’s Central Bank (hereafter refers as to Central Bank) released a press which was written by its governor, Fai-Nan Perng on January 12th 2010. That press indicated that the pricing system of foreign exchange market will be distorted and the doubts of stock and asset bubbles will increase when a large number of hot money remitted into Taiwan. Central Bank quoted professional opinions from many famous international organizations and Nobel Prize winners to support the press. That press also emphasized that Central Bank would take the appropriate capital controls to alleviate the doubts. Levying a Tobin Tax on foreign portfolio investors is a possible proposal especially. This thesis uses event study to examine whether the Tobin Tax proposal would affect the cumulative abnormal returns(CAR)of security companies listed on Taiwan Stock Exchange(TSE)and Over The Counter(OTC), and tries to establish the regression model to analyze the relations between(CAR)and three corporate characteristics: BIS rate, corporate size and corporate growth. The findings of this thesis are as follow:(1)When Central Bank raised the Tobin Tax proposal, security companies listed on TSE and OTC had negative CAR.(2)For all sample companies, CAR is positively related with corporate size.(3)BIS rate and corporate growth have no significant relationship with CAR. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/44628 |
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顯示於系所單位: | 會計學系 |
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