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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72713


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    題名: Transaction Tax and Market Quality of the Taiwan Stock Index Futures
    作者: 周冠男
    Chou, Robin K.;Wang, George H. K.
    貢獻者: 財管系
    關鍵詞: Index Futures;Market Quality;Transaction Tax
    日期: 2006-12
    上傳時間: 2015-01-08 18:02:22 (UTC+8)
    摘要: On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides us with a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid-ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999 to April 30, 2001 are tested in a three equation structural model. Our findings show that transaction taxes have a negative impact on trading volume and bid-ask spreads, as we find that trading volume increased and bid-ask spreads decreased in the period following the reduction in the transaction tax. Our analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility, since there are no significant changes in price volatility after the tax reduction. We further find that, although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction.
    關聯: Journal of Futures Markets, 26(12), 1195-1216
    資料類型: article
    顯示於類別:[財務管理學系] 期刊論文

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