The Effect of Reducing the Day-Trade Tax on the Trading Volume in The Taiwan Stock Market

• Main Authors: WANG,TZU-YUN, 王姿韻
• Other Authors: WU,CHEN-HUI
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/p5g483

碩士 === 國立中正大學 === 會計與資訊科技學系碩士在職專班 === 106 === This study investigates the effect of 50 percent reduction in day trading transaction taxes for one year with the aim of stimulating transaction volumes, in which the tax cut policy implementation period covers from 28 April 2017 to 27 April 2018. This paper examines 668 stocks from the Taiwan Stock Exchange Market as the sample studied and investigates the time-varying effects of the policy. The empirical result shows that total trading volume increases significantly after the tax cut policy took effect for a period of one year as compared to that of six months suggesting the longer the implementation of the policy, the higher is the level of trading volume in the stock market. This paper uses Difference-in-Differences (DID) to deal with the endogeneity problem by choosing 30 Exchange-Traded Funds (ETF) as control group and 30 most active stocks from the Taiwan Stock Exchange as treatment group. The empirical findings show that this tax cut policy improves the portion of day trading transactions and the entire market trading volume as well. Finally, this paper also finds that investors substitute day trading instead of margin trading after the tax cut policy indicating that there is a substitution effect of internal transaction in the stock market.