在過去的理論中，自從Campbell與Beranek 在1955年之研究發現除息之行

為會影響投資者的組合決策之後，除息及除權行為就成為其它學者深入探

所的一重要課題。如Miller與Modigliani (1961)提出的顧客效果假說，

Elton 與 Gruber(1970) 提出稅率誘發的顧客效果，認為可從除息（權）

日的價格找出投資人的邊際稅率。但是學者Kalay(1984) 認為一般來說，

公司在進行除息或除權時，股價之下降通常不會等於息值或權值，對某些

投資人而言在除息（權）日可能存有一些套利的機會，故其另外提出所謂

的短線交易假說來分析除息（權）日的交易行為，而 Lakon- ishok和

Vermaelen(1986)則進一步從除息日前後有異常交易量證實短線交易的存

在。本研究即是從除息（權）日前後之交易來分析是否存有短線交易的行

為；並透過政府在民國78年對證券交易所得稅的課徵對投資人交易行為的

影響，提供政府未來開徵證券交易所得稅之參考。最後亦從交易成本與股

利收益率來分析對短線交易的影響。所得到結果如下： 1.在78年時，除

息日前後交易量呈現減少的情況，而在79至82年交易量則有異常增加的現

象。顯示投資人在78年並未透過除息事件來減少其稅負，即證券交易所得

稅的開徵對投資人的交易行為是無影響的；而在79至82年投資人的確有在

除息日前後採取節稅之短線交易。 2.如果將交易依照成股利收益率大小

予與分群，本研究發現異常交易量將隨著股利收益率的增加而增加；而驗

證股利收益率較高的股票對短線交易者的吸引力是較大的。 3.如果以交

易成本去分析其對除息日交易的影響，本研究採用交易群體為交易成本之

替代變數，發現交易成本相對投資報酬來講是很小的，故投資人在從事短

線交易時並不會考慮到其交易成本。

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