The Effect of the Tax Imputation Credit System on Cumulative Abnormal Trading Volume around the Ex-dividend Day

• Main Authors: Lu, Hsin-Ying, 呂信瑩
• Other Authors: Lin, Suming
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/96756044554583632798

碩士 === 國立臺灣大學 === 會計學研究所 === 91 === This study examines the impact of the implementation of the Tax Imputation Credit System on cumulative abnormal trading volume (CAV) around the ex-dividend day. It firstly investigates whether the determinants of trading volume are significantly related to CAV. The determinants derived from Michaely and Vila (1995) include the magnitude of dividends distributed by companies, the price risk of stocks, investors’ tax heterogeneity, and investors’ risk tolerance. After the CAV is calculated with the generalized autoregressive conditional heteroscedasticity (GARCH) model, the relationship between these determinants and CAV is analyzed empirically by using a multiple regression model. The impact of the Tax Imputation Credit System is measured by the marginal effect caused by the new tax system. Since the new system’s implementation may result in lower tax heterogeneity and less risk tolerance, the interaction terms regarding to the new system are used in the regression model. Additionally, the company’s size and the ratio of stocks held by institutions are also included in the regression as control variables. The empirical result is consistent with the model’s prediction and shows that the Tax Imputation Credit System does have significant effect on CAV. It reveals that the amount of dividends distributed by companies has positive effect on CAV, and the price risk of a stock has negative effect. It also shows that the interaction terms are significantly and positively related to CAV, which indicates that the investors’ lower tax heterogeneity and less risk tolerance caused by the Tax Imputation Credit System may are negatively related to CAV, also in accordance with the model’s prediction.