政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35750

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35750

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/35750

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35750

Title:	The Taxation on Capital Gains and the Stock Price Volatility 資本利得稅與股價波動
Authors:	薛雅月
Contributors:	朱美麗薛雅月
Keywords:	資本利得稅股價波動理性投機 capital gains tax stock price volatility rational speculation
Date:	2003
Issue Date:	2009-09-18 15:55:34 (UTC+8)
Abstract:	無 This study establishes a model of the stock market involving the rational speculators to investigate whether the imposition of tax on capital gains can reduce the market volatility. The finding is that the effect of tax on the stock price volatility varies according to the types of shocks hitting the market. In the cases of the issuing shock and the dividend shock, raising the tax rate could be a way to stabilize the stock market. On the contrary, when the margin-rate shock occurs, it tends to magnify the effect of the shock and therefore increases the market volatility. Thus, it could be concluded that an increase in the tax rate may increase or decrease the stock price volatility depending on the type of unexpected shocks.
Reference:	Atkins A.B. and E.A. Dyl (1997), “Stock Price Volatility, Transactions Costs and Securities Transactions Taxes,” Managerial and Decision Economics, 18, pp. 709-718. Blanchard, D. J. (1981), ”Output, the Stock Market, and Interest Rate,” The American Economic Review, vol.71, no.1, 132-143. Carlson, J. A. and C.L. Osler,., (2000), “Rational Speculators and Exchange Rate Volatility,” European Economic Review, 44, pp. 231-253. Chu M.L. (2003), “Foreign Capital, Speculation and Equity Market Volatility,” NSC Research Project Report. Chu M.L. (2004), “Capital Controls and Equity Markets,” NSC Research Project Report. Chu M.L. and T.W. Tsaur (1990), “Monetary Policies, Exchange Rate and Stock Price Dynamics: Theoretical Analysis and Empirical Simulation,” Taiwan Economic Review, Vol.18, No.4 (Dec., 1990), pp. 449-466. Friedman, M., (1953), Essays in positive Economics. University of Chicago Press, Chicago. Hsu Z.W. (2003), ”The Rational Speculation and Stock Price Volatility,” Master-Thesis (In Chinese). Jones C.M. and P.J. Seguin (1995), “Transactions Costs and Price Volatility: Evidence from Commission Deregulation,” Working Paper, University of Michigan. Muth, J. F., (1961), “Rational Expectations and the Theory of Price Movements,” Econometrica, 29, 3, pp. 315-335. Sargent, Thomas J.,(1973), “Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment,” Brookings Papers on Economic Activity, vol.2, pp. 429-472. Somers, H. M. (1948), “An Economic Analysis of the Capital Gains Tax,” National Tax Journal, vol.1, pp. 257-294. Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory,” Journal of Money, Credit and Banking, vol.1, February, pp. 15-29. Tobin, J. (1978), “A Proposal for International Monetary Reform,” Eastern Economic Journal, 4, pp. 153-159.
Description:	碩士國立政治大學經濟研究所 91258023 92
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0091258023
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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