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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修 | |
dc.contributor.author | Shang-Ru Chiang | en |
dc.contributor.author | 江尚儒 | zh_TW |
dc.date.accessioned | 2021-06-17T03:21:02Z | - |
dc.date.available | 2023-06-29 | |
dc.date.copyright | 2018-06-29 | |
dc.date.issued | 2018 | |
dc.date.submitted | 2018-06-22 | |
dc.identifier.citation | 中⽂參考⽂獻
何涛、陈⼩悦(2003),「中国上市公司送股、转增⾏为动机初探」,⾦融研究 (09), 44-56。 李存修(1991),「股票股利及現⾦增資之除權與股價⾏為:理論與實證」,台⼤ 管理論叢,第 2 卷(第 1 期),1-40。 李存修(1994),「股票股利除權交易⽇之稅後超額報酬與⽐價⼼理假說之實 證」,台⼤管理論叢,第 5 卷(第 1 期),41-60。 李存修(2017),「台灣股票期貨節稅利益之研究」,未發表研究初稿。 李育齡(2017),兩稅合⼀可扣抵稅額與補充健保⾨檻對除權(息)⽇股價⾏為之影 響,國⽴台灣⼤學財務⾦融學研究所未出版碩⼠論⽂。 林世銘、陳明進、李存修(2000),「兩稅合⼀前後上市公司除權及除息⽇股價⾏ 為之探討」,管理學報,第 18 卷(第 3 期),477-501。 林世銘、陳國泰、張⿍聲(2003),兩稅合⼀後除權除息之租稅規避⾏為,當代會 計,第四卷(第⼆期),119-142。 盧玲鈺(2017),股票期貨稅率套利,國⽴台灣⼤學財務⾦融學研究所未出版碩⼠ 論⽂。 謝淑華(2014),台灣股票期貨節稅效益分析—以 0050 成分股與中型 100 成分股差 異探討,輔仁⼤學⾦融與國際企業學系⾦融碩⼠在職專版未出版碩⼠論 ⽂。 顏敏光(2012),臺灣股票期貨除權除息節稅及退稅效果研究,臺北⼤學國際財務 ⾦融碩⼠在職專班學位論⽂。 英⽂參考⽂獻 Al Yahyaee, K., Pham, T., and Walter, T. (2008). Ex-Dividend Day Behavior in the Absence of Taxes and Price Discreteness. International Review of Finance, 8(3- 4), 103-123. 30 Bartholdy, J., and Brown, K. (1999). Ex-dividend Day Pricing in New Zealand. Accounting & Finance, 39(2), 111-129. Basuki, H. (2006). The Impact of the Abolition of tax credit on ex-dividend day abnormal returns in the united kingdom (uk) market. Dadjah Mada International Journal of Business, 8(2), 201-227z. Brown, P., and Clarke, A. (1993). The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation (Vol. 18). Connelly, J. T., L. Gorman, P.Limpaphayom and R. A. Weigand. (2008). An Analysis of Facotrs Affecting Ex-Dividend Day Stock Prices in Global Capital Markets. Problems and Perspectives in Management, 6(1), 89-104. Daunfeldt, S.-O., Selander, C., and Wikström, M. (2006). Taxation, Dividend Payments and Ex-Day Price Changes (Vol. 13). Elton, E. J., and Gruber, M. J. (1970). Marginal Stockholder Tax Rates and the Clientele Effect. The Review of Economics and Statistics, 52(1), 68-74. Elton, E. J., Gruber, M. J., and Rentzler, J. (1984). The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect: A Comment. The Journal of Finance, 39(2), 551-556. Farinha, J., and Soro, M. (2005). Ex-dividend pricing, taxes and arbitrage opportunities: the case of the Portuguese stock exchange. Frank, M., and Jagannathan, R. (1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics, 47(2), 161-188. Isaksson, A., M. ISLAM. (2013). The Ex-Dividend-Day Price Behavior of Blue-Chip Stocks: International Evidence. Asian Journal of Finance and Accounting, 5(1), 73-87. Kalay, A. (1982). The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect. The Journal of Finance, 37(4), 1059-1070. 31 Kalay, A. (1984). The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect: A Reply. The Journal of Finance, 39(2), 557-561. Karpoff, J. M., and Walkling, R. A. (1988). Short-term trading around ex-dividend days: Additional evidence. Journal of Financial Economics, 21(2), 291-298. Kato, K., and Loewenstein, U. (1995). The ex-dividend-day behavior of stock prices: the case of Japan. The Review of Financial Studies, 8(3), 817-847. Lakonishok, J., and Vermaelen, T. (1983). Tax Reform and Ex-Dividend Day Behavior. The Journal of Finance, 38(4), 1157-1179. Lakonishok, J., and Vermaelen, T. (1986). Tax-Induced Trading Around the ExDividend Days (Vol. 16). Lasfer, M. A. (1996). Taxes and dividends: The UK evidence. Journal of Banking & Finance, 20(3), 455-472. Poterba, J. M., and Summers, L. H. (1984). New Evidence that Taxes Affect the Valuation of Dividends. The Journal of Finance, 39(5), 1397-1415. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/69611 | - |
dc.description.abstract | 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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T03:21:02Z (GMT). No. of bitstreams: 1 ntu-107-R05723049-1.pdf: 955118 bytes, checksum: 31284924e45ff576d9870e36fcf09767 (MD5) Previous issue date: 2018 | en |
dc.description.tableofcontents | 謝詞 i
中⽂摘要 ii Abstract iii ⽬錄 iv 表⽬錄 vi 第⼀章 緒論 1 第⼀節 研究背景與動機 1 第⼆節 研究⽬的 2 第⼆章 ⽂獻探討 3 第⼀節 除權息⽇的股價⾏為 3 第⼆節 兩稅合⼀與補充健保費對除權息超額報酬之影響 6 第三節 股票期貨之節稅效果 6 第三章 研究⽅法 8 第⼀節 期貨與現貨之理論價格關係 8 第⼆節 股票期貨之稅盾及其對基差之影響 8 第三節 資料概覽、來源、選取 10 第四節 實證研究⽅法 13 第四章 實證結果 17 第⼀節 除權息⽉份基差差異分析 17 第⼆節 除權息⽇前後基差差異分析 19 第三節 基差與稅盾效果之關係 23 第四節 以基差推估邊際期貨交易⼈之綜所稅最⾼累進稅率 24 第五節 節稅策略回測 25 第五章 結論 28 參考⽂獻 29 中⽂參考⽂獻 29 英⽂參考⽂獻 29 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣股票期貨節稅利益之研究 | zh_TW |
dc.title | The Effect of Tax Benefit in Taiwan Stock Futures Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 106-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽,廖咸興 | |
dc.subject.keyword | 股票期貨,股利,除權息,股利所得稅,節稅, | zh_TW |
dc.subject.keyword | Stock Futures,Dividend,Ex-dividend,Dividend Income Tax,Tax Avoidance, | en |
dc.relation.page | 31 | |
dc.identifier.doi | 10.6342/NTU201801065 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2018-06-25 | |
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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