本研究探討臺灣證券交易稅制度下，投資人面臨的交易稅相對負擔是否會反映於股票市場不流動性。臺灣股票賣出端通常按成交金額課徵固定比例之證券交易稅，且不論投資人獲利或虧損皆須支付，使交易稅在投資行為中具有固定交易摩擦之特性。相較於單純觀察名目稅率，本研究進一步由持有期間報酬狀態出發，建構持有期間有效稅率（Effective Tax Weight, ETW），用以衡量固定交易稅率在不同報酬情境下對投資績效之相對負擔。
本文以臺灣上市普通股為研究對象，依 1 年至 5 年不同持有期間分別建構 ETW，並以 Amihud 不流動性指標之對數形式 ln(ILLIQ) 作為主要被解釋變數。Amihud 指標衡量每單位成交金額所造成的價格反應，數值越大代表價格衝擊越大、流動性越差，因此其本質為不流動性指標。本研究進一步控制公司規模、獲利能力、財務槓桿、評價狀態、股本規模與產業固定效果，並以原始資料與排除極端值兩種版本檢驗結果穩健性。
實證結果顯示，ETW 在所有持有期間下皆與 ln(ILLIQ) 呈現穩定顯著正向關係。由於 ln(ILLIQ) 越高代表不流動性越高，故此結果表示 ETW 越高時，股票市場流動性越差。此方向與交易成本提高可能降低交易意願、削弱市場深度並提高價格衝擊之理論直覺一致。研究結果亦顯示，原始資料與排除極端值版本方向一致，代表主要結論並非由極端值所驅動。
本研究的貢獻在於提供一個由持有期間視角衡量證券交易稅相對負擔的操作型指標，並將其連結至臺灣股票市場不流動性。惟因 ETW 與持有期間報酬存在機械關聯，本文在因果詮釋上採取保守立場，將實證結果定位為交易稅相對負擔與不流動性之系統性關聯。未來可進一步利用證券交易稅政策變動或更高頻之交易資料進行更嚴謹的因果識別。

This thesis investigates whether the relative burden of transaction taxes is associated with stock market illiquidity in Taiwan. Under the Taiwanese securities transaction tax system, stock sales are subject to a fixed proportional tax rate. Unlike income-based taxation, the tax is levied on transaction value regardless of whether the investor realizes a gain or a loss. This institutional feature motivates the construction of an effective tax burden measure from a holding-period perspective.
The key explanatory variable is the Effective Tax Weight (ETW), which transforms the statutory transaction tax rate into a holding-period relative tax burden adjusted by the compound annual growth rate. The dependent variable is the logarithm of the Amihud illiquidity measure, which captures price impact per unit of trading value. The empirical analysis uses Taiwan listed common stocks and estimates separate models for one- to five-year holding periods, controlling for firm size, profitability, leverage, valuation, capital stock, and industry fixed effects.
The results show a stable and statistically significant positive association between ETW and ln(ILLIQ) across holding periods. Since Amihud ILLIQ is an illiquidity measure, the positive coefficient indicates that a higher ETW is associated with higher illiquidity, or equivalently, lower liquidity. The results remain robust after 1%–99% Winsor ization. The findings suggest that the relative burden of transaction taxes is systematically related to market quality in the Taiwanese stock market.

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