The Effect To The Trade Of Chinese Taiwan Stock Market Induced By The Adjustment Of Security Trading Tax Rate

This paper aims to analyze the effects induced from trading and tax adjustments to Chinese Taiwan stock market and further interprets the relation among stock rewarding, variation of rewarding and trading activities. This paper testified the data from the latest 7 incidents of tax adjustments since from 1971 to 1994 based on the daily trade. Moreover, in order to understand the influence that trading tax brought to the investment portfolios, this paper also testified the investment based on general market (publishing volume plus index), the scale of enterprises and industry categories. The testify approach of this paper is based on the hypothesis of market efficiency which integrates the perspective that Clark (1973) and Anderson (1997) have proposed. Relating to the main topic that this thesis discussed can be divided into the following 3 parts:Firstly, we use ANOVA to test whether the rewarding and variation of stock price or trading volume would exists significant difference based on various security trading tax basement. Secondly, we implicate Event Study to compare the impact to stock price which took place before and after the imposing of security trading tax. By doing this, we can understand the short-term effect resulted from the imposing of security trading tax and thus propose useful suggestion to the official authority. Finally, based on the integration of Clark's and Anderson's assumptions along with applying AR(p) & GARCH(1,1)-cum-AV mode and VAR(p)-cum-TAX model to discuss the impact to price rewarding and variation of rewarding based on various tax rate.After conducting numerous testing, we came to realize that security trading tax certainly impose effects to the whole security market. In addition, the impacts to general market, various scales of companies driven by various tax rate as well as adjustment approaches indeed are significant. As far as large firms, small firms and financial firms are concerned, imposing higher tax will result in comparatively severe fluctuation in terms of their stock price which supports the hypothesis that price fluctuation remains a monotonically increasing relation with tax rate. Furthermore, we also found that tax rate stays a negative relation with average price rewarding while trading volume posed a significant positive relation with price rewarding. Last but not least, according to the result of this thesis, it indicates that the relation between tax rate adjustment and short-term performance regarding to stock price is not significant; therefore, if the official authority tries to influence the price performance by implement of tax rate adjustment, the result may be invalid.