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標題: | 臺灣股票期貨節稅利益之研究 The Effect of Tax Benefit in Taiwan Stock Futures Market |
作者: | Shang-Ru Chiang 江尚儒 |
指導教授: | 李存修 |
關鍵字: | 股票期貨,股利,除權息,股利所得稅,節稅, Stock Futures,Dividend,Ex-dividend,Dividend Income Tax,Tax Avoidance, |
出版年 : | 2018 |
學位: | 碩士 |
摘要: | 本⽂研究臺灣股票期貨除權息調整制度所產⽣的節稅效果,由於投資⼈持有股票期貨不需繳交股利所得稅、補充健保費、並且可提早領取股利,此⼀效果應會造成基差減弱減弱。本⽂研究發現,基差會在除權息⽇前數⽇才開始出現轉弱現象,顯⽰投資⼈會在除權息⽇前數⽇才開始採取賣股票、買股票期貨的節稅策略;⽽股利對於基差呈現顯著影響,越⾼股利者,投資⼈有越⾼誘因使⽤股票期貨節稅,基差因⽽更弱;在不考慮交易成本、基差⾵險的情況下,⾼所得稅率者可以在臺灣股票期貨市場獲得顯著的節稅利益,但若考慮交易成本、基差⾵險,以市場歷史資料進⾏回測,此⼀利益明顯降低,僅有所得稅率 30%以上者能獲得明顯且穩定的利益。 The article researches on the effect of tax avoidance due to the ex-dividend adjustment of stock futures in Taiwan Futures Exchange. The basis of the stock futures would decrease because that investors are not required to pay the dividend tax and second generation NHI fee while they could still earn the dividend of the underlying stock by holding a long position of stock futures. We show that the basis of stock futures starts to drop only a few days before the ex-dividend day. It implies that the investors make the tax avoidance strategy, which they sell stocks and buy stock futures in order to receive tax benefit. We also find that dividend has a significant effect on the basis of stock futures. Higher dividend induces investors to execute tax avoidance strategy that decrease the basis. Based on the real market data of Taiwan, we find that without trading cost and futures basis risk, investors who have high income tax rate could gain significant tax benefit by using stock futures. However, if trading cost and futures basis risk are included, we find only investors whose income tax rate are higher than 30% gain tax benefit on stock futures. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/69611 |
DOI: | 10.6342/NTU201801065 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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