當沖降稅對臺股市場流動性、波動性與稅收之影響：DID分析法

THE TAIWAN STOCK MARKET IMPACT OF DAY-TRADING SECURITIES TRANSACTION TAX CUT AND ITS EXTENSION: DID METHOD

本研究透過2016–2018年台股340檔個股日資料，以差異中的差異法（difference-in-differences，DID）分析2017年當沖降稅及2018年降稅延長政策對於臺股市場及證交稅收的影響。實證結果發現，2017年降稅實施後，市場流動性提升，但效果源自於現股當沖交易量的增加，並無助帶動非當沖交易量，而市場波動性亦擴大。2018年降稅延長政策對市場流動性已無刺激效果，但市場波動性仍持續上升。在證交稅收方面，當沖降稅在2017年雖有增加，但2018年降稅延長期間卻出現下降，顯示降稅延長政策恐有潛在稅收損失。

We collect daily data on 340 stocks listed on the Taiwan Stock Market from 2016 to 2018, and employ difference-in-differences estimators to analyze the impacts of the tax cut and its subsequent extension on market quality and transaction tax revenue. The results suggest an increase in market liquidity following the implementation of the tax cut. While the tax cut promoted day-trading transactions, it failed to promote non-day-trading transactions. Simultaneously, the introduction of the policy was associated with an increase in market volatility. As to the extension period of the tax cut policy in 2018, there was no additional boosting effect on market liquidity, while the increase in volatility persisted. Regarding the impact on tax revenues, our findings suggest an overall increase in securities transaction tax revenue following the initiation of the tax cut policy. However, the daily average securities transaction tax revenue during the extended period was lower compared to that recorded in the initial year of the tax cut phase, indicating potential tax losses during the extended period of the tax cut.