調降當日沖銷證券交易稅之影響：臺灣股票市場實證研究

The Effects of Reducing the Securities Transaction Tax on Day Trading: Evidence from the Taiwan Stock Market

本文檢測於2017年4月28日實施當日沖銷證券交易稅減半，臺灣股票市場前後各一年30檔交易活絡之股票。經採用傾向分數配對法尋求與未降稅前的股票加以配對，本研究實證結果顯示，實施當日沖銷證交稅減半有助於提升市場品質之衡量，即成交值、成交量、週轉率、波動性與流動性。本文再以差異中之差異法進行檢測，除了波動性呈現不顯著影響外，其他市場品質衡量之變數均獲得顯著提升。本文更進一步檢測調降當日沖銷證交稅對四項交易影響之衡量，即現股當沖成交量、現股當沖成交量比重、資券互抵張數與資券互抵比例。經本研究實證結果顯示，現股當沖成交量與現股當沖成交量比重均呈現顯著正向影響；反之，資券互抵張數與資券互抵比例則呈現顯著負向影響。以上實證結果在前述兩種統計方法的驗證下，均獲得穩健性的結果。整體而言，調降當日沖銷證交稅在本研究檢測期間，確實提升市場品質，同時導致當日沖銷取代融資融券之交易。

We have examined the 30 most actively-traded stocks for one year before and one year after the day trading transaction tax reduction implemented on April 28, 2017. Our findings show that the tax reduction increased market quality as measured by trading value, trading volume, turnover, volatility and liquidity while matching their prior untreated stocks using a propensity-score matching approach. When we use the difference-indifferences approach, qualitatively similar results also apply except for volatility, which has no significant effect. Furthermore, we investigate the effects of the tax reduction on the transaction impact as measured by the day trading volume, day trading ratio, margin netting and the margin netting ratio. The empirical results show that the day trading volume and the day trading ratio are positive and statistically significant, whereas the margin netting and the margin netting ratio are negative and statistically significant. These findings are robust to the two above-mentioned statistical approaches. Overall, the policy of reducing the securities transaction tax (STT) on day trading has improved market quality and resulted in the substitution of day trading for margin trading in the period.