當沖制度與租稅規避

Day Trading and Tax Avoidance

研究目的：當日沖銷制度所提升的流動性，是否能抑制公司的極端租稅規避行為。
研究設計／方法：採用分量迴歸模型(quantile regression)檢視當沖制度對公司極端租稅政策的影響。
研究結果：當沖制度所帶來的流動性會加劇公司的極端租稅規避行為。進一步，使用傾向分數配對法(propensity score matching)搭配差異中差異估計法(difference-in-differences, DID)、多種租稅規避指標、不同當沖交易量衡量及控制公司治理機制，均獲得一致結果。
研究限制／啟發：雖然當沖制度提升資本市場的流動性，但當沖引發的投機氛圍，偏重短期交易，無法有效監督公司租稅規避活動。
理論／實務／社會意涵：適度調整提升流動性對股票市場能產生一定之助益，但仍需要考量可能衍生的成本與風險。
創見／價值：當沖制度所增加的流動性反而抑制公司外部監督機制的效能。

Purpose–This study examines whether increased liquidity from day trading can attenuate a firm’s extreme tax avoidance.
Design/methodology/approach–Using a quantitative regression model to examine the impact of day trading on extreme tax avoidance.
Findings–The increase in day trading liquidity exacerbates tax avoidance. We also use the propensity score matching and difference-in-differences, various measures to proxy for tax avoidance and day trading, as well as control for the effect of the corporate governance mechanism. The results suggest that our findings remain robust.
Research limitations/implications–While the enhanced liquidity resulting from day trading stabilizes the capital market, the speculative atmosphere triggers a market focused on short-term transactions, which weakens the governance by voice to constrain extreme tax avoidance.
Practical implications/Social implications–Increased liquidity can benefit the stock market to some extent. However, the potential costs and risks need to be considered.
Originality/value–Day trading increases liquidity, but it weakens the external corporate governance mechanism.