The Influence of Luxury Tax on the Stock Return and Stock Trading Volume of the Construction Industry

為了有效打擊短期投機客有心炒作房價、囤積不動產並在短期內出售進而炒高房價，政府欲藉著課徵「特種貨物及勞務稅」來匡正房市畸形現象、促使房市恢復理性交易及穩定經濟。本研究利用事件研究法探討在奢侈稅政策自立法至通過實施等演變之際，該政策如何對上市櫃建設公司股票市場之異常報酬率及異常交易量帶來影響，亦建立迴歸模型來探討上市櫃建設公司之獲利能力、存貨比率、負債比率等公司特性，與其股票之累積異常報酬率及累積異常交易量之間的相關程度如何。 本研究實證結果分成四個部份，其研究結果顯示： 一、在累積異常報酬率方面，僅有第一個事件期間 (行政院審查通過奢侈稅草案)，上市櫃建設公司之股價將產生負向的異常報酬率。 二、在累積異常交易量方面，三個事件 (行政院審查通過奢侈稅草案、立法院財政委員會審查通過奢侈稅草案、立法院三讀通過奢侈稅條例) 皆產生顯著且下降之異常交易量。 三、在累積異常報酬率之迴歸結果方面，第一個事件期間中，負債比率較高之上市櫃建設公司，其累積異常報酬率低於負債比率較低者。第二及第三個事件期間，其獲利能力越高之上市櫃建設公司，累積異常報酬率所受到之影響較獲利能力較低者小。 四、在累積異常交易量之迴歸結果方面，僅在第一個事件期間中，存貨比率之高低會影響上市櫃建設公司之累積異常交易量，存貨比率較高者之交易量較存貨比率較低者更多。With an aim to prevent investors from speculating in real estate and to defend the living justice, the government enacted the “Special Goods and Services Tax”, known as the “Luxury Tax.” Following the event study method, this study determines three event dates and examines the stock market reactions during the process of the luxury tax enactment. Moreover, this study explores the relation between the stock cumulative abnormal returns (CAR) as well as the stock cumulative abnormal trading volume (CAV) of the construction industry, and firm characteristics including inventory-to-assets ratio, debt ratio and return on equity. Empirical results indicate that: (1) The stock prices of the construction industry experienced negative abnormal returns in event I. (2) The stock trading volume of construction industry experienced negative abnormal volumes in all of the three event dates. (3) The regression results of CAR indicate that CAR is negatively related with debt ratio in event I and positively related with return on equity in event II and III. (4) The regression results of CAV indicate that CAV is positively related with inventory-to-assets ratio in event I