奢侈稅對於台灣營建股股價之影響－以事件研究法論之

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Title:	奢侈稅對於台灣營建股股價之影響－以事件研究法論之
Other Titles:	Investigation of the Effect of Luxury Tax on Construction Stock Returns of Taiwan by Event Study
Authors:	周自強 Zhou, Zi-jiang
Contributors:	財務金融學系財務管理碩士班張瑞真 Jui-chen Chang
Keywords:	異常報酬;事件研究法;奢侈稅 Event Study;Luxury Tax;Abnormal Returns
Date:	2012
Issue Date:	2015-01-08 09:05:56 (UTC+8)
Abstract:	本研究以政府課徵奢侈稅為例，採用事件研究法，以民國100年6月1日為事件日，取台灣上市營建股股價日資料，探討政府課徵奢侈稅對於營建股股價之影響。其研究結果顯示，奢侈稅之課徵，對於營建股股價，有負的累計異常報酬之影響(-1.0347%)，於事件日中，太子(2511)有最大正累計異常報酬(14.9936%)；京城(2524)有最大之累計負異常報酬(-8.9120)，38個研究樣本於事件期中，有23家有負的異常酬，15家有正的異常報酬，負報酬機率60.5%。此外，本研究分析異常報酬的成因中顯示，於政府課徵偖侈稅之事件期中，外資買賣超、外資持股率，對於累計異常報酬，分別有5%及1％之正向顯著水準，其代表外資的進出，仍是主導營建股漲跌的主因；而融資餘額、融券餘額，對於累計異常報酬，則分別達到1％及10％之負向顯著水準，其代表散戶的進出，反倒對股價造成一個反向效果。　　This thesis collected data from the stock price of Taiwan's listed construction stocks in June 1, 2012, as the event date, to analyze the impact of government levied luxury tax on the price of construction stocks by using an event study methodology. The result shows that the luxury tax gave a negative cumulative abnormal returns to the construction stocks (-1.0347%). In the event date, the Prince(2511) had a maximum positive cumulative abnormal returns (14.9936%) and the Kings (2524) had a maximum negative cumulative abnormal returns (-8.9120%), respectively. There are total of 38 samples in this event, the abnormal returns of 23 companies were negative, while those of another 15 companies were positive, and the probability of negative returns was 60.5%. Analysis of the abnormal returns on government levied luxury tax, the effect of the foreign capital buys and sells and the foreign ownership rate on the cumulative abnormal returns showed 5% and 1% positive significant levels, respectively. This result showed that the foreign institutional investors were the main reason of the ups and downs of construction stock price. On the other hand, the effect of financing balance and margin balance on the cumulative abnormal returns showed 1% and 10% negative significant levels, respectively. This result showed that the angel investors present a reverse effect on stock prices.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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