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| 研究生： |
薛雅月 |
|---|---|
| 論文名稱： |
The Taxation on Capital Gains and the Stock Price Volatility 資本利得稅與股價波動 |
| 指導教授： | 朱美麗 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2004 |
| 畢業學年度： | 92 |
| 語文別： | 英文 |
| 論文頁數： | 31 |
| 中文關鍵詞： | 資本利得稅 、股價波動 、理性投機 |
| 外文關鍵詞： | capital gains tax, stock price volatility, rational speculation |
| 相關次數： | 點閱：119 下載：41 |
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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.
1.Introduction…………………………………………………………1
2.The model……………………………………………………………4
2.1 The firm sector………………………………………………4
2.2 Long-term shareholders…………………………………..................5
2.3 Rational speculators……………………………………………7
2.4 Market solution…………………………………………… 9
3. Taxation on capital gains and the stock price volatility……………………. 12
3.1 The issuing shock……………………………………………14
3.2 The dividend shock………………………………………… 15
3.3 The margin-rate shock………………………………………17
4.Conclusion……………………………………………………… 20
References………………………………………………………… 22
Appendix…………………………………………………………… 24
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